Information Matrix

Filter

Posts feed
Publication date

Compare and contrast: VaR v. CTE

Insurance reserving in many countries looks at extreme scenarios over a single year.
Written by: Stephen RichardsTags: conditional tail expectation, SST, quantile, percentile

Up close and intimate with the APCI model

This blog brings together two pieces of work. The first is the paper we presented to the Institute and Faculty of Actuaries, "A stochastic implementation of the APCI model for mortality projections", which will appear in the British Actuarial Journal. The second is a previous blog where I examined the role of constraints in models of mortality.

Written by: Iain CurrieTags: APCI, identifiability constraints

Senolytics: trials and judgements

In a previous post we considered the advantages of repurposing existing drugs to treat a new condition. The fact such treatments had already undergone safety testing and regulatory approval shortens the usually lengthy journey to the clinic.
Written by: Gavin RitchieTags: longevity, senescence

Right-Censoring Rules!

A fundamental assumption underlying most modern presentations of mortality modelling (see our new book) is that the future lifetime of a person now age \(x\) can be represented as a non-negative random variable \(T_x\). The actuary's standard functions can then be defined in terms of the distribution of \(T_x\), for example:

\[{}_tp_x = \Pr[ T_x > t ].\]

Written by: Angus MacdonaldTags: survival analysis, right-censoring, counting process

New year, new insights

Happy New Year to all our readers!

Written by: Stephen RichardsTags: supercentenarians, data quality, late-life mortality deceleration

Mme Calment's other secret?

Favourite stories can, in the process of retelling, turn into legends. But might it eventually become difficult to distinguish between legend and myth? Indeed, are we longevity watchers about to lose a favourite story? Consider what follows, dear readers, and decide for yourselves...
Written by: Gavin RitchieTags: longevity, supercentenarians

The long shadow of the life table

For centuries, the life table has been at the centre of actuarial work.  It sets out the gradual extinction of a hypothetical population, often a birth cohort.
Written by: Angus MacdonaldTags: life table

Hedging or betting?

Last week I presented at Longevity 14 in Amsterdam. A recurring topic at this conference series is index-based approaches to managing longevity risk. Indeed, this topic crops up so reliably, one could call it a hardy perennial.

Written by: Stephen RichardsTags: basis risk, concentration risk, model risk

'D' is for deficiency

The United Kingdom has long had persistent regional disparities in mortality, and thus in life expectancy.
Written by: Stephen RichardsTags: Scotland, sunshine, Vitamin D

Smooth Models Meet Lumpy Data

Most of the survival models used by actuaries are smooth or piecewise smooth; think of a Gompertz model for the hazard rate, or constant hazard rates at individual ages. When we need a cumulative quantity, we use an integral, as in the cumulative hazard function, \(\Lambda_x(t)\):

\[ \Lambda_x(t) = \int_0^t \mu_{x+s} \, ds. \qquad (1) \]

Written by: Angus MacdonaldTags: Nelson-Aalen