We offer a subscription service to a series of technical notes on mortality and longevity risk, including access to a variety of calculation tools. Below are summaries of all the current technical notes available within the service. They are available as PDF files, sometimes with accompanying materials such as spreadsheets, source code or on-line interactive calculators. If you are interested in subscribing, please drop us a line.
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Detecting Year-of-Birth Mortality Patterns with Limited Data
13th April 2006
Tech-rating 3
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Late-life mortality patterns are of crucial interest to actuaries assessing longevity risk, most obviously for annuity business and defined-benefit pension schemes. One important explanatory variable for late-life mortality is year of birth. Previous work has demonstrated various techniques for detecting such patterns, but always with long time-series of data. This paper describes two alternative ways to detect such patterns, even with missing exposure data or the absence of a time series. The paper finds support for the idea that different birth cohorts have different rates of ageing. The paper also demonstrates a simple model to show how this can lead to accelerating rates of mortality improvements, a phenomenon already observed in the mortality rates of males in England and Wales over the past forty years. [Download note] |
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Uncertainty in measuring mortality
2nd August 2006
Tech-rating 3
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This note looks at standard actuarial approaches to measuring mortality, and explores their shortcomings with regard to uncertainty. In the case of pensions and annuities, the uncertainty over the actual underlying lives-based experience increases not just because of smaller in-force numbers, but also---surprisingly---because of increasing age itself. Variability in pension size adds more volatility still, making the estimation of mortality rates for annuitants and pensioners more difficult than at first sight. [Download note] |
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Survey of annuity operations
3rd October 2005
Tech-rating 0
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Listing of the results of a survey of the minimum and maximum purchase prices for U.K. life offices in the CPA market, together with their quotation guarantee periods. [Download note] |
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Data preparation for mortality models
5th March 2006
Tech-rating 0
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This note looks at the importance of data preparation prior to analysing mortality or building a mortality model. Of critical importance is the identification of individual lives from policy-level data, also known as deduplication. A strategy for this is demonstrated with examples. [Download note] |
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Lee--Carter Models
8th August 2005
Tech-rating 3
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Working Paper 15 from the CMIB Mortality Sub-Committee introduced the Lee--Carter model for stochastic mortality projection. This note looks in more detail at the Lee--Carter model for mortality and shows how the Lee--Carter framework can be made recognisable to actuaries. The note further shows how the Lee--Carter framework has expression as a generalised linear model (GLM). [Download note] |
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Introduction to mortality modelling in R
1st September 2005
Tech-rating 2
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In Working Paper 15, the Mortality Committee of the CMIB has expressed its intention to release future materials as R source code. This note is not about this working paper, rather it looks at how to get and install R, how to use it, and, most importantly, how to begin mortality modelling in R. It outlines some basic mortality models familiar to actuaries, and shows step-by-step how these models can be fitted to actual experience. The note also shows how to fit some simple generalised linear models (GLM) to mortality data, including an introduction to the P-spline models which lie behind the cohort projection bases in common use in the U.K. life insurance industry. A file of R source code accompanies this note. For subscribers who do not have R installed, a web interface is provided for running R over the Internet via your browser. [Download note] [Access online tool][Download R source] |
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Annuity reinsurance
11th May 2006
Tech-rating 0
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With the restructuring of the U.K. life industry continuing apace, a new market for annuity reinsurance is opening up. This short article gives an overview of some of the more significant annuity-reinsurance transactions. An earlier version of this note appeared in the Redmayne Report on Reinsurance 2005. [Download note] |
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Pricing and capital management for annuity portfolios
13th April 2006
Tech-rating 2
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This note looks at standard actuarial approaches to pricing annuity business, and explores their features and shortcomings. The focus is very much on capital usage and returns on that capital. A particular feature are the oddities of return on capital (RoC) for annuities at older ages, with consequent implications for the pricing of bulk buy-outs of defined-benefit pension schemes, but also the reinsurance of existing mature portfolios of life-company annuitants. A spreadsheet accompanies this technical note for illustration and experimentation, and a capital calculator is available on-line at our website. [Download note] [Access online tool][Download spreadsheet] |
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Service description
21st January 2006
Tech-rating 0
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Richards Consulting offers a subscription service to a series of technical notes on mortality and longevity risk, including access to a variety of online calculation tools. Technical notes are available as PDF files, sometimes with accompanying materials such as spreadsheets, source code or on-line interactive calculators. [Download note] |
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