Stephen Richards
Managing Director
Articles written by Stephen Richards
Seasonal patterns in mortality
During an analysis of a large annuity portfolio we took some time out to look at the pattern of mortality by season as well as the overall time trend. We fitted a model for age, gender and season, where the definition of season is that used by the ONS: each season covers three months, and where winter covers December, January and February.
Choosing between models
In any model-fitting exercise you will be faced with choices. What shape of mortality curve to use? Which risk factors to include? How many size bands for benefit amount? In each case there is a balance to be struck between improving the model fit and making the model more complicated.
Choosing between models - a business view
We discussed how we use the AIC to choose between models.
Survival models v. GLMs?
At some point you may be challenged to decide whether to use survival models or the older generalised linear models (GLMs). You could be forgiven for thinking that the two were mutually exclusive, especially since some commercial commentators have tried to frame the debate that way.
More on postcodes
Following my entry on postcode profiling, I have been asked two further questions. The first is whether you have to use Experian's Mosaic system.
Deduplication and pension schemes
Deduplication is an essential part of data preparation for statistical modelling. The phenomenon of multiple policies per person is a major issue for annuity portfolios, and arises from life companies' policy-orientated view of the world.
Are you allergic to statistical models?
Or do you know someone who is? Some people are uncomfortable with the idea of statistical models, especially ones with parameters.
Postcodes
There is some degree of confusion over what people mean by "postcode" when applied to modelling mortality in the United Kingdom. There are varying ways of using postcodes, depending how much of the full postcode is actually used.
Deduplication and annuities
Deduplication is an important step in data preparation for mortality modelling (or any other kind of modelling for that matter). If people in your data set have multiple benefit records, then the crucial independence assumption for statistical modelling in invalidated.