Information Matrix

In a previous blog I looked at how continuous-time methods can provide real-time management information.  In that example we tracked the (almost daily) development of the mortality of two tranches of new annuities, as shown again in Figure 1.

Figure 1.  Cumulative hazard, \(\hat\Lambda(t)\), for new annuities written by French insurer.  Source: Richards and Macdonald (2024).

Targeting methods are popular in some areas for mortality forecasting. One well known current example is the CMI's model for forecasting mortality.