Working paper 3 - Projecting future mortality: A discussion paper

The CMIB's Working Paper 1, published in December 2002, provided interim mortality projections based on the CMIB's preliminary investigation into the cohort effects within the CMIB data. The interim projections were produced in a relatively short period to assist appointed actuaries while more thorough investigations were carried out. The first results of those investigations are reported in Working Paper 3.

Working Paper 3 gives a summary of the different types of projection methodologies and their key features and summarises the discussion at the CMIB/GAD seminar of 6 October 2003 on "Projecting Future Mortality". The paper explains the key sources of uncertainty in projections and their measurement and discusses the difficulties faced by the Working Party in selecting projection methodologies. Noting that the Working Party has not arrived at a single defensible methodology for projecting mortality, the paper raises a number of questions that will have to be answered and sets out the further research needed. It also starts a discussion within the profession on the management of longevity risk.

It is intended that this paper will be discussed at the CILA conference in April 2004. If you have any written comments about this paper, please send them by 07/05/2004 to:

Tony Leandro
Continuous Mortality Investigation Bureau
Cheapside House
138 Cheapside
LONDON
EC2V 6BW
Email: newtables@cmib.org.uk

We look forward to receiving your comments.

Peter Nowell
Chairman of the CMI Executive Committee

12 March 2004