Here is the nowcast

(Jan 6, 2022)

Everyone is familiar with the idea of a forecast. You have data on a phenomenon up to the current time, and want to forecast the phenomenon at some point in the future.  The most obvious example is the weather forecast, but forecasting is also required in pension and annuity work.  For example, when calculating reserves for pension payments, some kind of projection is required for future mortality improvements.

However, there are many situations where the phenomenon of interest is not known at the current time, but will be after a time lag.  Examples are Gross Domestic Product (GDP) and inflation statistics, which only become available a few months after the time point they refer to.  This is a problem for central…

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Tags: OBNR, reporting delays

Allowing for reporting delays

(Feb 2, 2021)

In a previous blog I outlined my six-month rule of thumb for discarding mortality experience affected by reporting delays.  However, this can be awkward where there is a hard limit on how far back the experience data goes.  For example, when a pension scheme switches administrator, or an insurer migrates business from one system to another, past mortality data is usually the first casualty.  For example, I vividly remember starting a new job as head of mortality, only to discover that there was only 18 months of experience data available - a new annuity administration had gone into production, and nobody had thought to keep the experience data from the old system.  I wish I could say that this situation was unique,…

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Tags: OBNR

Reporting delays

(Jan 19, 2021)

When performing a mortality analysis, it is my practice to disregard the most recent six months or so of experience data.  The reason is delays in the reporting and recording of  deaths, i.e. occurred-but-not-reported (OBNR) to use the terminology of Lawless (1994).  We use the term OBNR, rather than the more familiar term IBNR (incurred-but-not-reported); IBNR is associated with "cost-orientated" delay distributions of insurance claims (Jewell, 1989), whereas we are focused on just the delay itself.

But what evidence is there to support my six-month rule of thumb?  As part of ongoing research in Richards (2021), I received separate extracts of annuitant mortality experience in June and September 2020…

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Tags: OBNR, IBNR, right truncation, interval censoring

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