Steady as she goes

(Jan 9, 2012)

If you'll forgive the nautical metaphor, forecasting longevity over the past few decades has proven to be anything but plain sailing. Those plotting a course with unshakable certainty have usually ended up storm-tossed and floating in a barrel. Since the future is unknowable, any methodology applied to forecasting must have uncertainty at its heart, which is why we advocate using stochastic projection models (and more than one at that).

Stochastic projection models are tricky beasts, however, with many methods of forecasting (ARIMA time series, drift models, penalty projections, bivariate projections, and others), each with different characteristics. One concern that arises from this sophistication…

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Tags: mortality projections, Solvency II, robustness

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