Stephen Richards

Last night an paper on the management of annuities was presented to the Faculty of Actuaries in Edinburgh.

Boxing Clever

In an earlier blog I wrote about how stochastic volatility in run-off increases with age. This applies when you exactly know (or think you know) the current and future mortality rates.

Insurers and reinsurers throughout the EU are facing up to the implementation of Solvency II, a radical overhaul of regulatory standards for insurance business.  Recently we explored how much Solvency II demands stochastic models. 

Solvency II is a major overhaul of the reserving rules for insurers throughout the European Union.  An important consideration for annuity writers is how it will relate to longevity trend risk.

Geodemographic profiles use addresses or postcodes to classify people into groups which are homogeneous with respect to variables like income, housing tenure and life stage.  The original purpose of geodemographic profiles was to improve targeting for marketing purposes. 

Actuaries have a long-standing habit of using different terminology to statisticians. This page lists some common terms used by actuaries in mortality work and their "translation" for a non-actuarial audience. The terms and notation are those used by actuaries in the UK, but in every country I have visited the local actuaries have used similar notation.

Table 1. Common actuarial terms and their definition for statisticians.

In an earlier post we discussed how a survival model was directly equivalent to assuming future lifetime was a random variable.  One consequence of this is that survival models make it quick and simple to simulate a policyholder's future lifetime for the purposes of ICAs and Solvency II.

When investigating risk in an annuity portfolio, a key task is to simulate the future lifetime for each annuitant.  Survival models make this particularly easy, as covered in an earlier posting on simulating lifetimes.

This month sees the twentieth anniversary of the fall of the Berlin Wall.  This is therefore an appropriate time to remind ourselves of a dramatic example of the plasticity of mortality.