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Posts feed2D or not 2D?
The Society of Actuaries (SOA) in North America recently published an exposure draft of a proposed interim mortality-improvement basis for pension-scheme work. The new basis will be called "Scale BB" and is intended as an interim replacement for "Scale AA". Like Scale AA, the interim Scale BB is one-dimensional in age, i.e. mortality improvements vary by age and gender only. However, the SOA is putting North American actuaries on notice that a move to a two-dimensional projection is on the cards:
Seminar on stochastic projection models
We previously ran a seminar on stochastic projection models for longevity risk. Our follow-up seminar focuses on specific aspects of ICAs and Solvency II.
All bases covered
It is fairly obvious by now that we are strong advocates for stochastic projection models. Such models crucially provide a basis with two components - a best-estimate force of mortality by age and year, and matching standard error values for the same 2D range.
Diet? What diet?
A while back I wrote about the lower life expectancy in Scotland. This has a number of drivers, but poor diet is one of them.
Ahead of his time
I'm giving away rather too much information about my age when I say I started work in 1990 right after graduating from university. Not long into my first job at a UK insurer, I was called to a meeting of the actuarial department.
Longevity trend risk under Solvency II
Longevity trend risk is different from most other risks an insurer faces because the risk lies in the long-term trajectory taken by mortality rates. This trend unfolds over many years as an accumulation of small changes.
Steady as she goes
If you'll forgive the nautical metaphor, forecasting longevity over the past few decades has proven to be anything but plain sailing. Those plotting a course with unshakable certainty have usually ended up storm-tossed and floating in a barrel.
Why use survival models?
We and our clients much prefer to analyse mortality continuously, rather than in yearly intervals like actuaries used to do in previous centuries. Actuaries normally use μx to denote the continuous force of mortality at age x, and qx to denote the yearly rate of mortality. For any statisticians reading this, μx is the continuous-time hazard rate.
Ahead of the curve
In an earlier post we looked at the implications for savers of the historically low interest rates in the UK. Low interest rates are a policy response to the unusual economic conditions in which the developed world currently finds itself.
Survival models for actuarial work
The CMI recently asked for an overview note on survival models. Since this subject is of wider actuarial interest, we wanted to make this publically available. An electronic copy can be downloaded from the link on the right.