Seminar on stochastic projection models

We previously ran a seminar on stochastic projection models for longevity risk. Our follow-up seminar focuses on specific aspects of ICAs and Solvency II.  The seminar contains four presentations:

  1. Improving the Lee-Carter model using smoothing techniques (Iain Currie).
  2. Issues with parameter correlations, illustrated by the APC model (Iain Currie).
  3. Testing the robustness of an internal model before committing to using it (Gavin Ritchie).
  4. A value-at-risk (VaR) framework for longevity trend risk (Stephen Richards).

The slide packs can be downloaded from the panel on the right.

Previous posts

All bases covered

It is fairly obvious by now that we are strong advocates for stochastic projection models. Such models crucially provide a basis with two components - a best-estimate force of mortality by age and year, and matching standard error values for the same 2D range.
Tags: Filter information matrix by tag: mortality projections, Filter information matrix by tag: CMI

Diet? What diet?

A while back I wrote about the lower life expectancy in Scotland. This has a number of drivers, but poor diet is one of them.
Tags: Filter information matrix by tag: Scotland, Filter information matrix by tag: diet

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