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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In earlier blogs I discussed two techniques for handling outliers in mortality forecasting models:
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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
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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:
In my previous blog I showed how univariate stochastic mortality models, like the Lee-Carter and APC models, can be robustified to cope with data affected by the covid-19 pandemic. Such robustification is necessary because outliers, such as the 2020 experience, bias parameter estimates and affect value-at-risk (VaR) capital requirements. Kleinow & Richards (2016) showed how one-year VaR-style capital requirements are heavily de
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The covid-19 pandemic led to high levels of mortality in many countries in 2020. Figure 1 shows that the number of deaths in England & Wales in 2020 was an outlier compared to preceding years.
Figure 1. Total deaths by calendar year for females in England & Wales. Source: HMD data, ages 50–105.
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Longevitas Ltd is pleased to announce the production release of v2.8.5 of the Projections Toolkit. This version contains powerful productivity and ease-of-use features including:
Longevitas Ltd is pleased to announce the production release of v2.8.4 of the Projections Toolkit. This version contains powerful productivity and ease-of-use features including:
