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Stephen Richards

Managing Director

Articles written by Stephen Richards

Doing our homework

In Richards et al (2013) we described how actuaries can create mortality tables derived from a portfolio's own experience, rather than relying on tables published elsewhere.  There are good reasons why actuaries need to be able to do this, and we came across a stark reminder of this while writing Richards & Macdonald (2024).

Tags: Filter information matrix by tag: survival curve, Filter information matrix by tag: Kaplan-Meier, Filter information matrix by tag: home reversion plans

All change!

I have blogged previously about the risks in reinventing software that has already been built.  As usual, I declare my complete and utter lack of independence in the opening paragraph - I run a business providing software services to actuaries.  And while this blog might be self-interested(!), that doesn't make the point here any less true.

Tags: Filter information matrix by tag: software, Filter information matrix by tag: robustness

Software projects - the sting in the tail

In an earlier blog I looked at the arguments in favour of buying in specialist software, rather than trying to build it yourself.  Of course, as someone whose business is providing software services for mortality and longevity work, I am somewhat partisan.  To balance things out, I wrote a follow-up blog on when it makes sense - even for us - to source external sof

Tags: Filter information matrix by tag: software

Real-time decision making

In a previous blog I looked at how continuous-time methods can provide real-time management information.  In that example we tracked the (almost daily) development of the mortality of two tranches of new annuities, as shown again in Figure 1.

Figure 1.  Cumulative hazard, \(\hat\Lambda(t)\), for new annuities written by French insurer.  Source: Richards and Macdonald (2024).

Tags: Filter information matrix by tag: Nelson-Aalen, Filter information matrix by tag: confidence intervals, Filter information matrix by tag: deduplication

Real-time management information

The sooner you know about a problem, the sooner you can do something about it.  I have written before about real-time updates to mortality estimates during shocks.  However, real-time methods also have application to everyday management questions.  Consider Figure 1(a), which shows a surge in new annuities in December 2014.  The volume of new annuities written in that month was large enough to shift the average age of the in-force annuit

Tags: Filter information matrix by tag: Nelson-Aalen, Filter information matrix by tag: annuities

The actuarial data onion

Actuaries tasked with analysing a portfolio's mortality experience face a gap between what has happened in the outside world and the data they actually work with.  The various difference levels are depicted in Figure 1.

Figure 1.  The actuarial data onion.

Tags: Filter information matrix by tag: OBNR, Filter information matrix by tag: deduplication, Filter information matrix by tag: geodemographics, Filter information matrix by tag: survival analysis

Mortality forecasting in a post-COVID world

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

Tags: Filter information matrix by tag: mortality projections, Filter information matrix by tag: coronavirus, Filter information matrix by tag: outliers

Unhiding the bodies

All governments like to divert attention from their mistakes.  However, this is tricky in an open democracy with a free press if those mistakes lead to tens of thousands of deaths.  In contrast, it is straightforward for an authoritarian regime to manipulate the death counts.  Nevertheless, it is hard to hide all the indirect consequences of excess deaths.  This allows resourceful researchers to uncover what even dictatorships would rather keep hidden.  In this blog we look at examples in China and Russia.

Tags: Filter information matrix by tag: coronavirus

Longevity capital requirements on the edge

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?

Tags: Filter information matrix by tag: ARIMA, Filter information matrix by tag: characteristic equation, Filter information matrix by tag: unit root, Filter information matrix by tag: VaR

Shiny mortality tracker

The R programming language has steadily increased in importance for actuaries.  A marker for this importance is that knowledge of R is required for passing UK actuarial exams.  R has many benefits, but one thing that native R lacked was an easy user interface for creating apps for others to use.  Fortunately, this has changed with the release of libraries like Shiny, which we will demonstrate here in the context of an interactive mortality tracker.

Tags: Filter information matrix by tag: technology