New paper on modelling seasonal mortality

The Scandinavian Actuarial Journal has published our paper on seasonal mortality.  The paper demonstrates how powerful survival models can detect seasonal mortality patterns in even the most modest-sized pension schemes.  We show results for a wide variety of international portfolios, including how seasonal mortality peaks in January & February in the northern hemisphere (Canada, France, Kuwait, Netherlands, Spain, UK & USA), but in July & August in the southern hemisphere (Chile & Australia).  We demonstrate how seasonal mortality fluctuations increase with age, but also how low-income pensioners are more vulnerable than high-income ones.  We also present a single-parameter measure for the tendency for winter mortality to be a sharp peak while summer mortality is a shallower "trough".

The model allows actuaries to allow for seasonal effects in their mortality analysis, thus freeing them from having to use complete years of exposure.