Information Matrix
Filter
Posts feed(Mis-)Estimation of mortality risk
One of the risks faced by annuity providers is mis-estimation, i.e. the risk that they have incorrectly assessed the current rates of mortality.
Sweet and sour
Public health initiatives, such as those being considered in the UK around sugar, carry risks as well as potential benefits for any government. The first consequence of action is the near-certain accusation of presiding over a nanny state.
Working with constraints
Regular readers of this blog will be aware of the importance of stochastic mortality models in insurance work.
The age pattern of mortality
Heligman and Pollard published a famous paper in 1980 with the title "The age pattern of mortality". In their paper they proposed an additive, three-component model of mortality:
\[q_x/p_x = f_I(x) + f_S(x) + f_A(x)\]
Old drugs, new tricks
Breakthrough science in the longevity space doesn't always require the development of new medicines. In fact, there are significant advantages to repurposing medicines already in use, since some of the most expensive aspects of drug development lie in establishing human safety in the trial phase.
The name of the game
We have written frequently on the importance of deduplication for mortality modelling. In a mortality- or longevity-related transaction, it is critical that the risk-taker performs deduplication when fitting a statistical model to experience data.
Reverse Gear
Against a background of long-term mortality improvements it is understandable to expect that societal change and developments in health care will be agents of progress. Recent research from Princeton Professor of Economics Anne Case and Nobel prize-winning economist Angus Deaton jolts such complacency in the starkest way.
A chill wind
In a previous blogs I have looked at seasonal fluctuations in mortality, usually with lower mortality in summer and higher mortality in winter. The subject of excess winter deaths is back in the news, as the UK experienced heavy mortality in the winter of 2014/15, as demonstrated in Figure 1.
What — and when — is a 1:200 event?
The concept of a "one in two hundred" (1:200) event over a one-year time horizon is well established as a reserving standard for insurance in several territories: the ICA in the United Kingdom, the SST in Switzerland and the forthcoming Solvency II standard for the entire European Union.
Vampiric victories
A Halloween-themed blog for the spooky season perhaps, but it isn't quite as off-topic as it first appears. In legend, the vampire sought immortality through blood, whether drinking it or — reputedly in the case of Countess Elizabeth Báthory — bathing in it.