Piquing interest in improvements

(Jul 22, 2020)

When underwriting a pension scheme for a bulk annuity or longevity swap, the first concern is understanding what mortality levels are, especially differentials amongst sub-groups.  The next concern is whether the recent mortality improvements in the pension scheme are in line with the pricing basis; if the scheme has experienced faster improvements, say, then this would be a valuable insight for pricing.

How do we check this when improvement bases are usually calibrated with population data, where the number of lives at a single age typically exceeds the number of lives in the entire pension scheme?  How can you reliably detect improvement rates in a portfolio's own experience data?  We can do this to a simple…

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Tags: mortality improvements, portfolio-specific underwriting

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