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

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.

2.8.7 update

• A new resource area Training tab including datasets and exercises.
• Availability of 2D Period shocks model as per Kirkby & Currie (2010).
• Availability of a CBD M9 model with smoothing on main age term.
• New plot shows the inverse roots of the characteristic polynomials of the autoregressive (AR) and moving-average (MA) parts of the ARIMA model.
• License configurable SAML-based single-sign-on authentication.
• Platform, security and administrative support updates.
• Various fix

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?

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

In earlier blogs I discussed two techniques for handling outliers in mortality forecasting models:

In mortality forecasting work we often deal with downward trends.  It is often tempting to jump to the assumption of a linear trend, in part because this makes for easier mathematics.  However, real-world phenomena are rarely purely linear, and the late Iain Currie advocated linear adjustment as means of judging linear-seeming patterns.  This involves calculating a line between the first and last points, and deducting the line value at ea

Longevitas Ltd is pleased to announce the production release of v2.8.6 of the Projections Toolkit. This version contains powerful productivity and ease-of-use features including: