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Each year since 2009 the CMI in the UK has released a spreadsheet tool for actuaries to use for mortality projections. I have written about this tool a number of times, including how one might go about setting the long-term rate. The CMI now wants to change how the spreadsheet is calibrated and has proposed the following model in CMI (2016a):
\[\log m_{x,y} = \alpha_x + \beta_x(y-\bar y) + \kappa_y + \gamma_{y-x}\qquad (1)\]
Parameterising the CMI projection spreadsheet
The CMI is the part of the UK actuarial profession which collates mortality data from UK life offices and pension consultants. Amongst its many outputs is an Excel spreadsheet used for setting deterministic mortality forecasts. This spreadsheet is in widespread use throughout the UK at the time of writing, not least for the published reserves for most insurers and pension schemes.
S2 mortality tables
Benchmarking VaR for longevity trend risk
2D 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:
All bases covered
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.
Currency devaluation
Applying the brakes
The CMI has released a second version of its deterministic targeting model for mortality improvements. This type of model is called an expectation, as the user must enter their belief for the long-term rate of mortality improvement to use the tool. Expectations have their own unique features, as discussed
Laying down the law
In actuarial terminology, a mortality "law" is simply a parametric formula used to describe the risk. A major benefit of this is automatic smoothing and in-filling for areas where data is sparse. A common example in modern annuity portfolios is that there is often plenty of data up to age 75 (say), but relatively little data above age 90.