Weighing The Evidence

(Mar 10, 2015)

We've previously discussed the significant challenges involved in forecasting mortality by cause of death. Needless to say it isn't any easier to predict the impact of trends in lifestyle factors that drive those causes. One example is the research actvity around rising obesity, and specifically around the possibility rising obesity may negate the improvements in smoking-related mortality. Sturm and Wells (2000) asserted that obesity had a significantly higher impact on health outcomes than lifetime smoking or poverty. They reasserted these conclusions in 2002. It is clear that in both the US and UK we do see a diminishing prevalence of smoking allied with surging increases in obesity, but working out…

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Tags: obesity, mortality improvements, smoking, back-test

Back(test) to the Future

(Sep 14, 2009)

Stochastic projections of future mortality are increasingly used not just to set future best-estimates, but also to inform on stress tests such as for ICAs in the UK.  By the time the Solvency II regime comes into force, I expect most major insurers across the EU will be using stochastic models for mortality projections (if they are not already doing so).

Nevertheless, there are still some people who harbour doubts about stochastic models.  One way to address such skepticism is to look at how such models would have performed in predicting the recent past.  This is known as a back-test.  The idea is that we take a long data series on mortality (here the ONS data for males in England & Wales from 1961-2007) and carry…

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Tags: mortality projections, ICA, Solvency II, Lee-Carter, CMIR17, back-test

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