A Hermite-spline model of post-retirement mortality

We present a model for post-retirement mortality where differentials automatically reduce with increasing age, but without the fitted mortality rates for subgroups crossing over. Selection effects are catered for, as are age-modulated time trends and seasonal variation in mortality. Central to the m...

Full description

Saved in:
Bibliographic Details
Published in:Scandinavian actuarial journal 2020-02, Vol.2020 (2), p.110-127
Main Author: Richards, Stephen J.
Format: Article
Language:English
Subjects:
Actuarial science
age-modulated time trend
Mortality
Mortality convergence
mortality crossover
seasonal variation
selection effects
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:We present a model for post-retirement mortality where differentials automatically reduce with increasing age, but without the fitted mortality rates for subgroups crossing over. Selection effects are catered for, as are age-modulated time trends and seasonal variation in mortality. Central to the model are Hermite splines, which permit parsimonious modelling of complex risk factors in even modest-sized portfolios. The model is therefore suitable for the stand-alone analysis of experience data for reinsurance, bulk annuities and longevity swaps. We also illustrate the contrast between the statistical significance of a risk factor and its financial significance and discuss reasons why one might include risk factors like season that are not directly financially significant.
ISSN:0346-1238
1651-2030
DOI:10.1080/03461238.2019.1642239