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Stephen Richards

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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.
Tags: CMI

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.
Tags: early retirement, missing data, Kaplan-Meier

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

Tags: mortality improvements, force of mortality

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.
Tags: season, influenza, winter

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. 
Tags: GLM, logistic regression

Double trouble

Scientists strongly prefer ideas and processes which have undergone anonymous peer review in published, refereed journals.
Tags: deduplication, duplicates, annuities

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.
Tags: interest, annuities

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. 
Tags: standard table

Size isn't everything

In an earlier post we discussed the correct way of using postcodes for analysing mortality, and also how this works in countries outside the UK.  It is worth re-iterating why insurers use so-called geodemographic profiling.
Tags: postcodes, geodemographics

Great Expectations

When fitting statistical models, a number of features are commonly assumed by users. Chief amongst these assumptions is that the expected number of events according to the model will equal the actual number in the data. This strikes most people as a thoroughly reasonable expectation. Reasonable, but often wrong.

Tags: GLM