Stephen Richards
Managing Director
Articles written by Stephen Richards
How wrong could it be?
We have written previously about the importance of the independence assumption when modelling mortality for annuities and pensions. In a recent presentation to the Royal Statistical Society I showed the audience how life insurers deduplicate their annuity data and how they use postcodes to identify socio-economic status.
Sweating your data assets
In recent years insurers have looked to making better use of the data they already have. The appeal is simple: if you have already collected the data, then it is like leaving money on the table if it is not being exploited to the full.
A dip in the data pool
In the distant past, individual insurers had relatively modest business volumes and the industry needed to pool its data to get an overall data set of sufficient credibility.
Early retirements
Members of defined-benefit pension schemes can often retire early if they are in poor health. Unsurprisingly, such ill-health retirements exhibit higher mortality rates than those who retire at the normal scheme age.
Accelerating improvements in mortality
In February 2009 a variation on the Lee-Carter model for smoothing and projecting mortality rates was presented to the Faculty of Actuaries. A key question for any projection model is whether the process being modelled is stable. If the process is not stable, then a model assuming it is stable will give misleading projections. Equally, a model which makes projections by placing a greater emphasis on recent data will be better able to identify a change in tempo of the underlying p
Winter mortality
In previous posts we looked at seasonal fluctuations in mortality. Since the UK is about to experience some particularly cold weather again, we will look at winter mortality in more detail.
Logistical nightmares
A common Generalised Linear Model (GLM) for mortality modelling is logistic regression, also sometimes described as a Bernoulli GLM with a logistic link function. This models mortality at the level of the individual, and models the rate of mortality over a single year.
Double trouble
Scientists strongly prefer ideas and processes which have undergone anonymous peer review in published, refereed journals.
Interesting times
The Bank of England has reduced its current bank rate to 1.5%, the lowest since it was founded in 1694. Whilst this is good news for borrowers, it is bad news for those in retirement who are living off the interest on their savings.
Table talk
When valuing a portfolio, an actuary must often make a decision as to what tables to use for the risk. The ideal is to use tables which have been created from the portfolio's own experience, preferably using a statistical model to account for the various risk factors.