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Real-time decision making

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).

Written by: Stephen RichardsTags: Filter information matrix by tag: Nelson-Aalen, Filter information matrix by tag: confidence intervals, Filter information matrix by tag: deduplication

The actuarial data onion

Actuaries tasked with analysing a portfolio's mortality experience face a gap between what has happened in the outside world and the data they actually work with.  The various difference levels are depicted in Figure 1.

Figure 1.  The actuarial data onion.

Written by: Stephen RichardsTags: Filter information matrix by tag: OBNR, Filter information matrix by tag: deduplication, Filter information matrix by tag: geodemographics, Filter information matrix by tag: survival analysis

The name of the game

We have written frequently on the importance of deduplication for mortality modelling.  In a mortality- or longevity-related transaction, it is critical that the risk-taker performs deduplication when fitting a statistical model to experience data.
Written by: Stephen RichardsTags: Filter information matrix by tag: deduplication, Filter information matrix by tag: names, Filter information matrix by tag: National Insurance numbers, Filter information matrix by tag: proportion married

Special assignment

We talked previously about the use of user-defined validation rules to clean up specific data artefacts you sometimes find in portfolio data. One question came up recently about modelling bespoke benefit bands, and this can also benefit from user-defined rules.
Written by: Gavin RitchieTags: Filter information matrix by tag: technology, Filter information matrix by tag: data validation, Filter information matrix by tag: deduplication

How wrong could it be?

We have written previously about the importance of the independence assumption when modelling mortality for annuities and pensions. In a recent presentation to the Royal Statistical Society I showed the audience how life insurers deduplicate their annuity data and how they use postcodes to identify socio-economic status.
Written by: Stephen RichardsTags: Filter information matrix by tag: deduplication, Filter information matrix by tag: mortality, Filter information matrix by tag: annuities, Filter information matrix by tag: geodemographics, Filter information matrix by tag: Mosaic

Double trouble

Scientists strongly prefer ideas and processes which have undergone anonymous peer review in published, refereed journals.
Written by: Stephen RichardsTags: Filter information matrix by tag: deduplication, Filter information matrix by tag: duplicates, Filter information matrix by tag: annuities

Confounding compounding

Earlier posts discussed the importance of deduplication in annuity portfolios and pension schemes and some of the issues around the deduplication of names, specifically the use of double metaphone to look through common variant spellings of the surname or family name.
Written by: Gavin RitchieTags: Filter information matrix by tag: deduplication, Filter information matrix by tag: duplicates

What's in a name?

We have already mentioned the problem of duplication in pension schemes and annuities, and as an issue we encounter frequently it is worth talking a little about some technology that can be used to counter the problem.
Written by: Gavin RitchieTags: Filter information matrix by tag: deduplication, Filter information matrix by tag: duplicates, Filter information matrix by tag: metaphone

Deduplication and pension schemes

Deduplication is an essential part of data preparation for statistical modelling. The phenomenon of multiple policies per person is a major issue for annuity portfolios, and arises from life companies' policy-orientated view of the world.
Written by: Stephen RichardsTags: Filter information matrix by tag: deduplication, Filter information matrix by tag: duplicates, Filter information matrix by tag: pensions

Deduplication and annuities

Deduplication is an important step in data preparation for mortality modelling (or any other kind of modelling for that matter). If people in your data set have multiple benefit records, then the crucial independence assumption for statistical modelling in invalidated.
Written by: Stephen RichardsTags: Filter information matrix by tag: deduplication, Filter information matrix by tag: duplicates, Filter information matrix by tag: annuities