Version 2.2 of the Projections Toolkit

Date: Dec 19, 2011

Longevitas Ltd is pleased to announce the production release of v2.2 of the Projections Toolkit.  This version contains powerful productivity and security features including:

  • The introduction of yield curves as an alternative to constant interest rates. Yield-curve models supported include interpolation, penalised splines, Dobbie-Wilkie, Nelson-Siegel and Svensson.
  • The introduction of the Age-Period-Cohort (APC or M3) family of projection models, including the original model plus two alternatives for smoothing the age parameters: a Gompertz age function and a P-spline-smoothed age function.
  • The introduction of a one-year value-at-risk (VaR) operation to explore model stability and to put longevity risk into a one-year time horizon for Solvency II.
  • Excel-based benchmarking of your choice of deterministic projection basis against a stochastic model.
  • Fully-flexible observation weighting.
  • Large-print technical guides for use on smaller devices such as e-Readers, smartphones and tablets (for example, Amazon's Kindle).
  • Enhanced PDF reports including including hotlinked table of contents and dynamic bibliography.
  • Enhanced file sharing with new restricted and standard sharing modes, and the ability to return a file share when complete.
  • Process control for multiple running operations per file.
  • SMS provider rotation for multiple notifications within a short time period to minimise dependence on a single provider.
  • Mass calculation of annuity factors and life expectancies, including Excel® spreadsheets to integrate with your own tools.
  • Targetting the number of degrees of freedom in a model as alternative option to minimizing the BIC.
  • Inclusion of a new Projections Toolkit Technical Guide explaining internals and theoretical underpinning for the projection system and models.
  • Annotation for sample paths to illustrate the derivation of their calculation.
  • Improved integration features for clients with access to Longevitas or
  • Operation completion and password hint notifications now available by SMS in addition to — or instead of — e-mail.
  • Additional extended authentication settings including multiple fixed IP addresses and net masks.
  • Ability to extend projected mortality rates by age
  • Introduction of the CBD5 family of models - P-spline and Gompertz variants
  • Graduation of standard tables using 1D P-spline age penalties
  • Two-factor authentication incorporating SMS passcode and fixed IP options
  • Validation and test facility for SMS numbers
  • Notifications at individual, organisation and server wide level
  • Addition of sample paths for drift models
  • Addition of sample paths for ARIMA (p,1,q) models.
  • User control of knot positioning in models using splines for smoothing.
  • User control of optimisation method, including a grid search based on simulated annealing for challenging functional shapes.
  • Extension to Excel-based projection explorer to support more charts and a broader range of Excel versions
  • Extensions to upper projections limits and smoothing overrides
  • TAS-R information added to projections PDF report
  • Ability to reuse existing projection models and piggyback projections
  • Colour coding for large positive and negative residuals in Excel residuals downloads
  • An Excel-based projection explorer, including automatic calculation of reduction factors and improvement rates using your choice of ICA/Solvency II stress level.
  • Excel-formatted downloads including a multi-worksheet format for qx stress scenarios.
  • Changes to handling of over-dispersion, including addition of over-dispersion parameter to models in the smooth Lee-Carter family.
  • Generation of sample paths for smoothed models using penalty projections.
  • Addition of drift-model variants for time-series models in the Lee-Carter family.
  • Residual file download and large residual weighting.
  • 2D P-spline models extended to allow fitting of an overdispersion parameter, allowing for extra-Poisson variation caused by, for example, period effects or duplication
  • Addition of base mortality smoothing override to Lee-Carter Fully smoothed and Smooth alpha and beta (time-series) models
  • Minimum year boundary lowered to 1900 to support population data from wider number of territories
  • A range of stochastic projection models supported to investigate model risk:
    • Extended Lee-Carter family - time series projections (Original, DDE, Gompertz, smooth alpha and beta)
    • Extended Lee-Carter family - penalty projections (Currie Richards 2009, Gompertz, Fully-smoothed)
    • 2D P-spline family - penalty projections (2D age-period, 2D age-cohort)
  • Projections against any age and year range selection to allow for straightforward back-testing
  • Piggyback models to investigate basis risk in smaller portfolios
About the Projections Toolkit

Insurers and pension schemes are under increasing pressure to understand the uncertainty over future mortality improvements.  An important tool for this is a stochastic projection model, which can be complicated to fit.  The Projections Toolkit makes it easy for an actuarial advisor to fit a wide variety of projection models to explore the uncertainties over future mortality.

The Projections Toolkit has particular application for life insurers and reinsurers under Solvency II in the EU.