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Would you buy an investment which was guaranteed to lose you money?
Simulating the Future
This blog has two aims: first, to describe how we go about simulation in the Projections Toolkit; second, to emphasize the important role a model has in determining the width of the confidence interval of the forecast.
The strange case of Scotland's missing improvements
Earlier this week I had the opportunity to attend a New Scientist: Live presentation given by Sir Harry Burns entitled "Making Scotland Well Again", which was an examination of the links between social conditions and incidence of disease.
Dealing direct
Data in Longevitas takes two forms. Firstly, we have the user-uploaded data, which has normally been extracted from an administration system with only modest formatting and then secondly, we have operation input data which is the bare-bones format necessary to support a specific calculation.
Conditional tail expectations
In a recent posting I looked at the calculation of percentiles and quantiles, which underpin many calculations for ICA and Solvency II. Simply put, an \(\alpha\)-quantile is the value which is not expected to be exceeded \(\alpha\times 100\)% of the time. This value is denoted \(Q_{\alpha}\). Mathematically, for a continuous random variable, \(X\), and a given probability level \(\alpha\) we have:
$$\Pr(X\leq Q_\alpha)=\alpha$$
Don't cut corners
An important class of mortality-projection models is the Cairns-Blake-Dowd (CBD) family.
Quantiles and percentiles
Quantiles are points taken at regular intervals from the cumulative distribution function of a random variable. They are generally described as q-quantiles, where q specifies the number of intervals which are separated by q−1 points.
Creative thinking around longevity risk
The U.K. has been a hotbed of innovation when dealing with the longevity risk found in pension schemes.
Excel's limits
We have written in the past about some of the reasons why we don't use Excel to fit our models. However, we do use Excel for validation purposes — fitting models using two entirely separate tools is a good way of checking production code. That said, there are some important limits to Excel, especially when it comes to fitting projection models.
Wind-up and buy-out - the cheaper option?
The words "cheap" or "cheaper" are not normally seen in the same sentence as pension scheme wind-up or buy-out. However, my challenge is whether it is not indeed the cheaper option after taking into account the capitalised costs of running a pension scheme for another 10 or 20 years.