Everything counts in large amounts

(Aug 8, 2011)

Models for projecting mortality are typically built using information on lives with deaths by age and gender.  However, this ignores an important risk factor for longevity, namely socio-economic group.  For annuity and pension reserving, therefore, it would be helpful to use such information when building stochastic projection models.  Actuaries have two routes whereby they can get proxy information for socio-economic group: pension size and geodemographics.

Typically such data is not available at the population level, but the CMI Pensioner dataset is one of the few with mortality data on both lives and amounts; we use these data for ages 60 to 90 and for years 1983 to 2006. Figure 1 shows observed log(mortality)

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Tags: basis risk, piggyback model, amounts-weighted mortality

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