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Signal or noise?

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):

\[\log m_{x,y} = \alpha_x + \beta_x(y-\bar y) + \kappa_y + \gamma_{y-x}\qquad (1)\]

Written by: Stephen RichardsTags: Filter information matrix by tag: CMI, Filter information matrix by tag: APCI, Filter information matrix by tag: APC, Filter information matrix by tag: Lee-Carter, Filter information matrix by tag: Age-Period, Filter information matrix by tag: smoothing

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.

Written by: Stephen RichardsTags: Filter information matrix by tag: CMI, Filter information matrix by tag: expert judgement, Filter information matrix by tag: Lee-Carter, Filter information matrix by tag: drift model

S2 mortality tables

The CMI has released the long-awaited S2 series of mortality tables based on pension-scheme data.  These are the first new tables since the CMI changed its status (the S2 series is only available to paying subscribers, unlike prior CMI tables). 
Written by: Stephen RichardsTags: Filter information matrix by tag: S2 Series, Filter information matrix by tag: S1 Series, Filter information matrix by tag: CMI, Filter information matrix by tag: mortality improvements

Benchmarking VaR for longevity trend risk

I recently wrote about an objective approach to setting the value-at-risk capital for longevity trend risk. This approach is documented in Richards, Currie & Ritchie (2012), which was recently presented to a meeting of actuaries in Edinburgh.
Written by: Stephen RichardsTags: Filter information matrix by tag: mortality improvements, Filter information matrix by tag: mortality projections, Filter information matrix by tag: VaR, Filter information matrix by tag: CMI, Filter information matrix by tag: value-at-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:

Written by: Stephen RichardsTags: Filter information matrix by tag: mortality improvements, Filter information matrix by tag: Scale AA, Filter information matrix by tag: Scale BB, Filter information matrix by tag: trend reversal, Filter information matrix by tag: CMI

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.
Written by: Gavin RitchieTags: Filter information matrix by tag: mortality projections, Filter information matrix by tag: CMI

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.

Written by: Stephen RichardsTags: Filter information matrix by tag: CMI, Filter information matrix by tag: survival models, Filter information matrix by tag: mortality

Currency devaluation

I have written before on aspects of the CMI's new deterministic projection model. One hoped-for goal was that the CMI 2010 model would become a "common currency" for communicating mortality-improvement bases.
Written by: Stephen RichardsTags: Filter information matrix by tag: CMI, Filter information matrix by tag: mortality improvements, Filter information matrix by tag: mortality projections

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

Written by: Stephen RichardsTags: Filter information matrix by tag: CMI, Filter information matrix by tag: mortality improvements, Filter information matrix by tag: mortality projections

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.

Written by: Stephen RichardsTags: Filter information matrix by tag: log-likelihood, Filter information matrix by tag: mortality law, Filter information matrix by tag: CMI, Filter information matrix by tag: Gompertz-Makeham family