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Robust mortality forecasting for multivariate models

In my previous blog I showed how univariate stochastic mortality models, like the Lee-Carter and APC models, can be robustified to cope with data affected by the covid-19 pandemic.  Such robustification is necessary because outliers, such as the 2020 experience, bias parameter estimates and affect value-at-risk (VaR) capital requirements.  Kleinow & Richards (2016) showed how one-year VaR-style capital requirements are heavily de

Written by: Stephen RichardsTags: Filter information matrix by tag: outliers, Filter information matrix by tag: coronavirus, Filter information matrix by tag: random walk, Filter information matrix by tag: drift model

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

Volatility v. Trend Risk

The year 1992 was important in the development of forecasting methods: Ronald Lee and Lawrence Carter published their highly influential paper on forecasting US mortality.
Written by: Iain CurrieTags: Filter information matrix by tag: mortality projections, Filter information matrix by tag: parameter uncertainty, Filter information matrix by tag: Lee-Carter, Filter information matrix by tag: drift model

Cast adrift

One of the most written-about models for stochastic mortality projections is that from Lee & Carter (1992). 
Written by: Stephen RichardsTags: Filter information matrix by tag: mortality projections, Filter information matrix by tag: Lee-Carter, Filter information matrix by tag: drift model, Filter information matrix by tag: ARIMA