Seasonal patterns in mortality

(Aug 17, 2008)

During an analysis of a large annuity portfolio we took some time out to look at the pattern of mortality by season as well as the overall time trend. We fitted a model for age, gender and season, where the definition of season is that used by the ONS: each season covers three months, and where winter covers December, January and February. The results are shown below, where the mortality index has a value of 100 in January 1998.

Seasonal patterns and time trend for mortality

The chart shows a number of interesting features. Most obviously, there is a strong downward trend, reflecting the ongoing significant improvements in annuitant mortality in the United Kingdom.

The next feature is the strong cyclic intra-year patter: high mortality in winter months, followed…

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Tags: mortality, annuities, season, time-trend

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