Stephen Richards
Managing Director
Articles written by Stephen Richards
Out of line
Regular readers of this blog will be in no doubt of the advantages of survival models over models for the annual mortality rate, qx. However, what if an analyst wants to stick to the historical actuarial tradition of modelling annualised mortality rates?
Haircut or hedge-trim?
Richard Willet's observation last year on the restatement of population estimates was picked up again recently by the BBC. Amongst the implications of the missing nonagenarians are some potentially interesting consequences for index-based longevity hedges.
Health experiments
One interesting aspect of Scottish devolution is the different path charted in health policy.
Enhancement
An oft-overlooked aspect of statistical models is that parameters are dependent on each other. Ignoring such dependencies can have important consequences, and in extreme cases can even undermine assumptions for a forecasting model. However, in the case of a regression model the correlations between regressor variables can sometimes have some unexpectedly positive results.
No smoking without fire
Socio-economic differentials in life expectancy have a long history in the United Kingdom. A large part of this over the last few decades has been stark differences in smoking rates — people of a high socio-economic status are much less likely to smoke, resulting in longer life expectancy.
The ins and outs of bulk annuities
The UK has a well developed and highly competitive market in bulk annuities. These typically arise when a defined-benefit pension scheme wants to insure its liabilities.
The best available approximation to the truth
In my role as guest editor of the British Actuarial Journal, I wrote an editorial piece about how actuaries can assess the suitability (or otherwise) of models for projecting mortality rates.
Benchmarking VaR for longevity trend risk
I recently wrote about an objective approach to setting the value-at-risk capital for longevity trend risk. This approach is documented in Richards, Currie & Ritchie (2012), which was recently presented to a meeting of actuaries in Edinburgh.
VaR-iation by age
During the public discussions of our paper on value-at-risk for longevity trend risk, one commentator asked for a fuller presentation of VaR capital requirements by age. In the paper, as with our introductory overview, we used age 70 as a representative average age of an annuity portfolio.
Insurance or right?
The Economist recently carried an article about the perceived unfairness of increasing the retirement age. The argument is that poorer people have higher mortality rates, which means they get less value from a given pension than richer people: the poor are less likely to survive long enough to receive the pension, and if they do they will draw it for a shorter period of time.