Reference Material

 "Mis-estimation risk: measurement and impact" (2014) by S. J. Richards, Longevitas Technical Paper
**Only available to licence-holders of our software products.
 "Creating portfolio-specific mortality tables: a case study" (2013) by S. J. Richards, K. Kaufhold and S. Rosenbusch, Longevitas Technical Paper
**Only available to licence-holders of our software products.
 "A handbook of parametric survival models for actuarial use" (2012) by S. J. Richards, Scandinavian Actuarial Journal, 2012(4), pages 233-257
**Only available to licence-holders of our software products.
 "Setting the proportion-married assumption" (2008) by S. J. Richards, Longevitas Technical Note
**Only available to licence-holders of our software products.
 "Improving annuity pricing with address data" (2008) by S. J. Richards, Life and Pensions magazine, September 2008
**Only available to licence-holders of our software products.
 "Applying survival models to pensioner mortality data" (2008) by Richards, S. J., Presented to Sessional Meeting of Institute of Actuaries, February 25th 2008
 "Modelling pensioner longevity" (2007) by Richards, S. J., Life and Pensions magazine, May 2007
**Only available to licence-holders of our software products.
 "Understanding pensioner longevity" (2007) by Richards, S. J., The Actuary magazine, November 2007
The editorial team of The Actuary chose this as its article of the month in November 2007.
 "Pricing demographic risks in bulk buy-outs" (2006) by Richards, S. J.,
 "Anti-selection and annuity pricing" (2005) by Robinson, D. and Richards, S. J., The Actuary magazine, May 2005
 "Survey of annuity operations" (2005) by Richards, S. J., Richards Consulting
**Only available to licence-holders of our software products.
 "Financial aspects of longevity risk" (2004) by Richards, S. J. and Jones, G. L., Staple Inn Actuarial Society
This paper was listed as one of the top five papers every life actuary should know about at the 2006 Life Convention.
 "Longevity in the 21st Century" (2004) by Willets, R. C, Gallop, A. P., Leandro, P. A., Lu, J. L. C., Macdonald, A. S., Miller, K. A., Richards, S. J., Robjohns, N., Ryan, J. P. and Waters, H. W., British Actuarial Journal, 10, IV, 695--898
This paper won two prizes: one from the Faculty of Actuaries and another from the Institute of Actuaries
 "Postcode ratings for mortality" (2008) by Richards, S. J., Presented to Westminster and City annuities conference on 10th December 2008, London
**Only available to licence-holders of our software products.
 "Postcode ratings for mortality" (2008) by Richards, S. J., Presented to Momentum Convention on 5th December 2008, Berlin
 "Predictive modelling: identifying and managing persistency risk" (2008) by Richards, S. J., Presented to Life Convention on 10th November 2008, Amsterdam
 "Modelling mortality risk" (2008) by Richards, S. J., Presented to KPMG's Solvency II Internal Models Practitioner Working Group on 2nd September 2008, London
**Only available to licence-holders of our software products.
 "Actuarial developments in longevity risk" (2008) by Richards, S. J., Presented to Xafinity CPD event on 21st April 2008, Novotel St Pancras, London
**Only available to licence-holders of our software products.
 "What your postcode says about your longevity" (2008) by Richards, S. J., Presented to a Joint Pensions Board and Life Board CPD Event on 8th April 2008, Edinburgh
**Only available to licence-holders of our software products.
 "Longevity risk" (2008) by Richards, S. J., Presented to Heriot-Watt Student Actuarial Society on 27th February 2008, Heriot-Watt University, Edinburgh
**Only available to licence-holders of our software products.
 "Applying survival models to pensioner mortality data" (2008) by Richards, S. J., Presented to Institute of Actuaries on 25th February 2008, Staple Inn, London
 "Applying survival models to pensioner mortality" (2008) by Richards, S. J., Presented on 11th January 2008, Heriot-Watt University, Edinburgh
**Only available to licence-holders of our software products.

We just want to experiment with GLMs and survival models. What software should we use without incurring large costs?

Try R, which is free, robust and reliable. If you want to step up to something more sophisticated later, then Longevitas will fit a wider variety of models. If you are worried about back-testing, Longevitas also generates files suitable for reading into R and will also generate R command scripts.

Will Longevitas run on our computers?

If you have a web browser and an Internet connection, you can run Longevitas.

What's the minimum amount of data I need for Longevitas?

Technically the minimum amount of data is one event. In practice, the smallest data set we have seen used was a pension scheme with 6,000 pensioners.

Our portfolio isn't even that big. What can we do?

Try mortalityrating.com, which uses a model of mortality by age, gender and postcode-driven lifestyle to rate small portfolios with little or no experience data. All you need are the following five data items for your pensioners: date of birth, gender, commencement date, annual pension and the full U.K. postcode.

Why would we consider Longevitas?

  1. The latest mortality models at the click of a mouse-button.
  2. Integrated support from a leading industry expert on modelling mortality and other demographic risks.
  3. No software to install!
  4. Use anywhere in the world.
  5. Intuitive, menu-driven approach - no programming language to learn!
  6. Online library of what works, what doesn't work (and why!)
  7. Unique expert system suggests improvements to your models based on fifteen years' experience of modelling mortality.
  8. Automatic report generation to document models.
  9. Automatic rate-table generation for use in pricing and reserving.

Can mortality have a big enough effect to make a difference to profitability?

Yes. Richards and Jones (2004) showed the impact on pension and annuity reserves of five rating factors besides age. Each one of them could cause a change which could wipe out a typical annuity pricing margin.

Standard tables express mortality rates by age and gender, so why can't we just pick one of those?

Standard tables are fine as they go, but they usually only use two rating factors: age and gender. Richards and Jones (2004) found four further rating factors beyond age and gender, all of which were material for pricing and reserving.

Incidentally, Longevitas has a charting tool which enables you to visually modify standard tables to better match the modelled mortality patterns observed in your portfolio. We also have a blog entry questioning the usefulness of standard tables in modelling work.

I don't see how postcodes can be relevant for mortality. Surely pension size is all that is needed?

See our Institute of Actuaries paper, which was peer-reviewed and details how and why postcodes work well for explaining mortality variation. For a generally lighter read without the maths, try our article in Life and Pensions magazine.

How can the same techniques be applied to both longevity and other risks such as persistency or transfer? Aren't they completely different processes?

First, there are some decrements which many of the same underlying features as mortality, such as critical illness. Mortality-orientated models tend to work well here.

Second, transfer and persistency risks do indeed have different behaviour, which is why we have a separate set of variables for application there.

Incidentally, we have a blog entry on the importance of using survival models for competing risks.

What can we do for non-U.K. data where there are no postcodes?

Versions of Longevitas exist for the U.S.A., Canada and the Netherlands, each of which has a hierarchical postcode-like structure, e.g. the nine-digit zip code in the United States. Other countries, such as France and Germany, can use address-based profiling.

I don't see how postcodes can be relevant for mortality. Surely pension size is all that is needed?

See our Institute of Actuaries paper, which was peer-reviewed and details how and why postcodes work well for explaining mortality variation. For a generally lighter read without the maths, try our article in Life and Pensions magazine.