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Portfolio mortality tracking: USA v. UK

In Richards (2022) I proposed a simple real-time mortality tracker that can be implemented in a spreadsheet or R.
Written by: Stephen RichardsTags: season, mortality shocks, Nelson-Aalen, OBNR, reporting delays

Modelling mortality shocks

The ongoing coronavirus pandemic has so far produced two mortality shocks in the UK and many other countries.  Unsurprisingly, the extra mortality is also visible in annuity portfolios.  Such mortality spikes create a challenge for actuaries — ho

Written by: Stephen RichardsTags: coronavirus, mortality shocks, season

Mortality patterns in time

The COVID-19 pandemic has created strong interest in mortality patterns in time, especially mortality shocks. Actuaries now have to consider the effect of such shocks in their portfolio data, and in this blog we consider a non-parametric method of doing this.

Written by: Stephen RichardsTags: season, mortality shocks, Nelson-Aalen

Seasoned analysis

The importance of seasonal analysis was underscored by a recent letter form the UK insurance regulator. In a previous blog, I looked at quarterly seasonal variation in a portfolio of defined-benefit pensions, and in a more recent blog I looked at monthly seasonal variation in mortality in England & Wales.

Written by: Stephen RichardsTags: season

Best practice in mortality work - regulatory comments

In a letter to the Chief Actuaries of UK insurance businesses, Malik (2019) highlighted two aspects of what the regulator regards as good practice in mortality work
Written by: Stephen RichardsTags: season, mortality improvements, cohort effect

Seasonal mortality and age

In two previous blogs (here and here) I looked at excess winter mortality.  A first glance at the charts shows that the elderly dominate the death counts.  However, the elderly also happen to provide the bulk of deaths at any time of year, so how can we be sure that they are more vulnerable to seasonal variation?
Written by: Stephen RichardsTags: season, winter

Mortality down under

Different countries have different mortality characteristics, and this is true even where countries have similar levels of wealth and development.  However, different countries also have shared mortality characteristics, and one of these is seasonal variation. 
Written by: Stephen RichardsTags: season, winter, cause of death

A chill wind

In a previous blogs I have looked at seasonal fluctuations in mortality, usually with lower mortality in summer and higher mortality in winter.  The subject of excess winter deaths is back in the news, as the UK experienced heavy mortality in the winter of 2014/15, as demonstrated in Figure 1.

Written by: Stephen RichardsTags: season, influenza, winter, frailty, mortality plasticity

Winter mortality

In previous posts we looked at seasonal fluctuations in mortality.  Since the UK is about to experience some particularly cold weather again, we will look at winter mortality in more detail.
Written by: Stephen RichardsTags: season, influenza, winter

Seasonal patterns in mortality

During an analysis of a large annuity portfolio we took some time out to look at the pattern of mortality by season as well as the overall time trend. We fitted a model for age, gender and season, where the definition of season is that used by the ONS: each season covers three months, and where winter covers December, January and February.
Written by: Stephen RichardsTags: mortality, annuities, season, time-trend