Stephen Richards

When fitting a statistical model we want two things as a minimum:

In Richards (2012) I compared seventeen different parametric models for modelling the mortality of a portfolio of UK annuitants. The best-fitting model, i.e. the one with the lowest AIC, was the Makeham-Beard model:

\[\mu_x = \frac{e^\epsilon+e^{\alpha+\beta x}}{1+e^{\alpha+\rho+\beta x}}\qquad(1)\]

Mortality at post-retirement ages has three apparent stages:

1. A broadly Gompertzian pattern up to age 90 (say), i.e. the mortality hazard is essentially linear on a logarithmic scale.

2. The rate of increase in mortality slows down, the so-called "late-life mortality deceleration".

Happy New Year to all our readers!

Last week I presented at Longevity 14 in Amsterdam. A recurring topic at this conference series is index-based approaches to managing longevity risk. Indeed, this topic crops up so reliably, one could call it a hardy perennial.