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Mortality patterns in time

The COVID-19 pandemic has created strong interest in mortality patterns in time, especially mortality shocks. Actuaries now have to consider the effect of such shocks in their portfolio data, and in this blog we consider a non-parametric method of doing this.

Written by: Stephen RichardsTags: Filter information matrix by tag: season, Filter information matrix by tag: mortality shocks, Filter information matrix by tag: Nelson-Aalen

Pension size as a factor

In a previous blog I showed that there was often a statistically significant link between pension size and mortality.  It is clearly necessary to account for such a link in an actuarial mortality model, not least because people with larger pensions account for a disproportionate share of portfolio risk.
Written by: Stephen RichardsTags: Filter information matrix by tag: discretisation error

Mortality and pension size

It will surprise nobody reading this blog that richer people tend to live longer.  This applies both between countries (countries with a higher per capita income tend to have higher life expectancies) and also within countries (people of higher socio-economic status tend to live longer than others, even when they all share the same comprehensive healthcare system).

Written by: Stephen RichardsTags: Filter information matrix by tag: A/E, Filter information matrix by tag: standard table

Turning the tables

Traditional actuarial mortality analysis was done by expressing a portfolio's mortality experience relative to a reference mortality table (a so-called A/E analysis).  In modern actuarial work the A/E analysis is supplemented (or even replaced) with a multi-factor statistical model; besides age and gender, common risk factors include pension size, geodemographic profile and early-retirement status.
Written by: Stephen RichardsTags: Filter information matrix by tag: A/E, Filter information matrix by tag: standard table

Modelling improvements in experience data - I

In the first of a pair of blogs we will look at how to allow for changes in mortality levels when calibrating models to experience analysis.  We start with time-varying extensions of traditional parametric models proposed by actuaries, beginning of course with the Gompertz (1825) model:

\[{\rm Gompertz}: \mu_{x,y} = e^{\alpha+\beta x + \delta(y-2000)}\qquad (1)\]

Written by: Stephen RichardsTags: Filter information matrix by tag: mortality improvements

Modelling improvements in experience data - II

In my previous blog I looked at the implied mortality improvements from time-varying traditional actuarial survival models.  In this blog we consider the implied improvements under the newer Hermite-spline model I proposed in Richards (2019).  This paper included an explicit attempt to model age-related mortality changes, as dis

Written by: Stephen RichardsTags: Filter information matrix by tag: mortality improvements

Piquing interest in improvements

When underwriting a pension scheme for a bulk annuity or longevity swap, the first concern is understanding what mortality levels are, especially differentials amongst sub-groups. The next concern is whether the recent mortality improvements in the pension scheme are in line with the pricing basis; if the scheme has experienced faster improvements, say, then this would be a valuable insight for pricing.

Written by: Stephen RichardsTags: Filter information matrix by tag: mortality improvements, Filter information matrix by tag: portfolio-specific underwriting

Seasoned analysis

The importance of seasonal analysis was underscored by a recent letter form the UK insurance regulator. In a previous blog, I looked at quarterly seasonal variation in a portfolio of defined-benefit pensions, and in a more recent blog I looked at monthly seasonal variation in mortality in England & Wales.

Written by: Stephen RichardsTags: Filter information matrix by tag: season

The renewed importance of place

In my previous blog I showed how suddenly the excess deaths rose in Scotland and England & Wales due to the ongoing COVID-19 pandemic.  I plotted the excess weekly mortality in two separate graphs because the two countries had such a similar experience that a single figure would have looked muddled.
Written by: Stephen RichardsTags: Filter information matrix by tag: coronavirus, Filter information matrix by tag: mortality

A week is a long time in a pandemic

According to British Prime Minister Harold Wilson, "a week is a long time in politics". As with politics, so also with the ongoing COVID-19 pandemic.
Written by: Stephen RichardsTags: Filter information matrix by tag: coronavirus, Filter information matrix by tag: mortality