What — and when — is a 1:200 event?

(Nov 12, 2015)

The concept of a "one in two hundred" (1:200) event over a one-year time horizon is well established as a reserving standard for insurance in several territories: the ICA in the United Kingdom, the SST in Switzerland and the forthcoming Solvency II standard for the entire European Union.  The basic idea is simple: insurers must be capitalised to withstand 99.5% of events which could arise over the coming year.  Other territories use concepts like conditional tail expectations.

There is room for debate as to what constitutes a 1:200 event, however.  For example, Figure 1 shows the elevated mortality caused by the 1918 influenza pandemic, which for many people would be a starting point for calibrating a modern…

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Tags: Spanish influenza pandemic, mortality shocks, longevity shocks, Solvency II, ICA, SST, VaR, value-at-risk

The weaker sex

(Jul 13, 2010)

Last year Iain wrote about a smooth model to identify mortality shocks, using Swedish population data to illustrate the impact of the 1918 influenza pandemic.  The ratio of male mortality rates in 1918 to those in 1917 is shown in Figure 1.

Figure 1. Ratio of mortality rates in 1918 to mortality rates in 1917. Source: own calculations using Swedish population data (males only) from the Human Mortality Database.

Excess mortality in 1918

From a Solvency II perspective, Figure 1 is uncomfortable for a life insurer with a mixed portfolio of life assurance and annuity risks.  There is huge excess mortality at the term-assurance ages 25-45, but little excess mortality at pensioner ages 60 and over.  This means that a term-assurance portfolio…

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Tags: Spanish influenza pandemic, mortality shocks, Solvency II

Mortality shocks

(Jan 30, 2009)

Mortality, and in particular rapidly improving mortality, has shot up the actuarial agenda in recent years. Actuaries have been caught by surprise not so much by the improvement (which has been happening steadily for over a hundred years now) but by the acceleration in the improvement. This accelerated improvement started around 1970 and shows no sign of running out of steam. The graph of mortality heads steadily south, albeit at an increasing speed.  The graph below illustrates the dramatic turn of events that took place around 1970 for Swedish males at age 70 (data from the Human Mortality Database):

Figure 1.  Log mortality for Swedish males aged 70

Mortality at age 70

However, other more spectacular changes in mortality are…

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Tags: Spanish influenza pandemic, influenza

Influenza and coronary heart disease

(Aug 31, 2008)

 Every good statistician knows that correlation does not imply causation.  Just because two things appear linked does not mean they are. However, with historical data we often don't have the luxury of carrying out controlled, scientific experiments to see if A really does cause B.

One particularly interesting example is the possible link between influenza and coronary heart-disease (CHD) mortality. The following chart is derived from data from the Massachusetts Department of Public Health Registry of Vital Records and Statistics, and is inspired by a similar chart by Azambuja and Levins (2007):

Dramatic increase in CHD mortality following Spanish Flu pandemic of 1918-1919

While we know that correlation does not imply causation, there does seem to be a rising incidence of CHD along…

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Tags: influenza, CHD, mortality projections, Spanish influenza pandemic, 1919, ICA, stress test, cause of death

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