Deterministics Anonymous
In Macdonald & Richards (2025), Stephen and I pointed out some benefits of models built up from instantaneous Bernoulli trials by product-integration (both of which have featured in previous blogs).
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In Macdonald & Richards (2025), Stephen and I pointed out some benefits of models built up from instantaneous Bernoulli trials by product-integration (both of which have featured in previous blogs).
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In my previous blog I described a real case where so-called artificial intelligence (AI) would have struggled to spot data problems that a (suspicious) human could find. But what if the input data are clean and reliable?
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The short answer for mortality work is that your Poisson model is never truly Poisson. The longer answer is that the true distribution has a similar likelihood, so you will get the same answer from treating it like Poisson. Your model is pseudo-Poisson, but not actually Poisson.
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Last week I presented at the Longevity 18 conference. My topic was on robustifying stochastic mortality models when the calibrating data contain outliers, such as caused by the COVID-19 pandemic. A copy of the presentation can be downloaded here, which is based on a paper to be presented at an IFoA sessional meeting in N
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The Institute and Faculty of Actuaries (IFoA) is hosting a meeting on robust mortality forecasting in the presence of outliers on 27th November 2023. A copy of the draft paper and booking details for attendance can be found on the IFoA website.
in Kleinow & Richards (2016, Table 5) we noted a seeming conundrum: the best-fitting ARIMA model for the time index in a Lee-Carter model also produced much higher value-at-risk (VaR) capital requirements for longevity trend risk. How could this be?
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The late Iain Currie was a long-time advocate of smoothing certain parameters in mortality models. In an earlier blog he showed how smoothing parameters in the Lee-Carter model could improve the quality of the forecast. As Iain himself wrote, "this idea is not new" and traced its origins to Delwarde, Denuit & Eilers (2007).
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The covid-19 pandemic caused mortality shocks in many countries, and these shocks severely impact the standard forecasting models used by actuaries. I previously showed how to robustify time-series models with a univariate index (Lee-Carter, APC) and those with a multivariate index (Cairns-Blake-Dowd, Ta
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