The CMI’s Mortality Projections Working Party has evaluated the P-Spline and Lee-Carter methodologies for projecting mortality

The CMI is not seeking approval for the methodologies, which we regard very much as ‘Work in Progress’. We certainly do not feel that we have the answer in this area, and it is only by exposing the work fully to the profession that the benefits and features of the methodologies will become apparent. Neither do we rule out the use of other stochastic or non-stochastic approaches. However, it is not the CMI’s role to set standards in this area.

From 2005 to 2008 the CMI made available software with the aims of illustrating these methodologies, assisting the profession to debate the issues and to help users validate the results of their own work. The CMI would like to express its thanks to James Kirkby and Dr Iain Currie of Heriot Watt University for developing this software.

The software uses the statistical package R, together with the R(D)COM interface. The software was withdrawn for new users early in 2009 after the CMI became aware that it is not compatible with newer versions of R and/or the interface. Registered users of the software were notified in January 2009 that they may need to retain existing versions of R and the interface for the software to remain functional.

The software is now available on request to anyone able to locate appropriate versions of R and the interface

To obtain the software please complete the Software Request Form and return it to the CMI.

The software requires the statistical package R to be installed together with the R(D)COM interface which allows Excel to call R. Please note that the software will not function on Excel 97 or earlier versions as these do not contain some of the VBA commands required by the software.

The software is of an experimental nature and is not commercial grade

It is made available on the understanding that you agree to the following conditions:

  • the software is illustrative and the CMI accepts no liability for its use
  • no support can be provided for the software
  • it is the user’s responsibility to source versions of R and the interface and to ensure that the software functions correctly with these
  • the software has been made available for your use only. Colleagues or others wishing to use the software should use the form to seek their own permission to use it
  • agreement to abide by the terms of the GPL licence.

In using the software we request that you communicate any errors or issues you discover to the Life Office Mortality Committee by emailing mortality@cmib.org.uk at the earliest opportunity. The CMI are keen that results produced by the software are discussed with the Committee, before any public comment is made. We hope you will feel able to abide by this request.

Instructions for installing the software

The software is provided in zipped format. You will need to copy all the contents into a single directory. Explanatory notes are contained in the User Guide and the GPL licence is contained in “GNU General Public License.doc”. The software itself creates an add-in to Excel. A spreadsheet is also supplied containing data for male assured lives from 1947 to 2005, for ages 20 to 90 and for all durations combined.

The latest version of the software was released in November 2007 and contains a number of changes to the previous version issued from April 2007, notably correction of an error relating to deviance residuals in the Lee-Carter functionality. Read the Exposure note for more information.

In addition the exposure data supplied with the software is central exposure and does not require adjustment before use (previously initial exposures were supplied).

All the changes from the previous version are documented within the User Guide. Registered users are automatically being supplied with the updated version.

Related documents

Contact Details

If you have any questions about the CMI please email

info@cmilimited.co.uk

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  • Asia Conference Webinar Series

    Webinars
    7 September 2020 - 25 September 2020

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    There will be a prestigious line-up of international speakers discussing the insurance and financial industry’s innovation and change in Asia.  The conference will take place throughout September via an online platform. The webinars consist of plenary speaking sessions and a series of workshop sessions including Life, GI, Data Science, Sustainability, Risk Management and Investment.

    This will be the perfect opportunity for you to discover,ask questions and be at the forefront of current and developing actuarial/financial topics and trends in Asia.

     

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    This free 90 minute webinar is designed to support the IFoA CPD Co-ordinators, and others, involved in supporting our members to achieve their CPD requirements. 

    The programme will include an overview of the new CPD Scheme; specifically sharing with you key messages to support you implement and embrace the new CPD Scheme for our members within your organisation and regional community; how to arrange a reflective practice discussion; and an interactive reflective practice discussion learning exercise.  In addition, delegates will gain information about accessing, and making the most of the IFoA event Toolkits which you can make use of to run your own in-house events and events for regional communities. 

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    16.00-17.00 (GMT+8) | 09.00-10.00 (BST)

    The basic data of China’s 2nd Critical Illness Mortality Table covers 2000+ products in Chinese market, including about 340 million insurance policies and 5.1 million claimants. Presenter will give the audience a general understanding including but not limited to the following contents:

  • Autumn Lecture 2020: Professor Elroy Dimson

    Online webinar
    14 October 2020

    Spaces available

    Many individuals and institutions have a long-term focus, and invest funds for the benefit of future generations. Their strategy should reflect their long horizon. University endowments are one of the oldest classes of institutional investor, and I will present the first study of the management of these endowments over the very long term.

  • GIRO Conference 2020 Webinar Series

    Available to watch globally in November.
    02-13 November 2020
    Spaces available

    This year's GIRO has been re-designed as a virtual conference to offer members and non-members the opportunity to get up to date content from leading experts in the general insurance field via online webinars. All sessions will be recorded and made available to purchase and re-watch post-event on the IFoA's GI Online Learning Resource area.

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    Cash-flow driven investing is a game-changer for DB pension funds navigating their end-game. Suitable for sponsors who want to reduce risks on their balance sheets. And for trustees, it shifts the focus to providing greater certainty of returns, managing funding level volatility and ensuring they have enough income to pay cash-flow requirements.

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    The talk will provide an understanding of the priorities and relationships between deficit reduction contributions, in the context of wider scheme funding, and different types of value outflow from the employer based on the working party’s recently published report.