CMI Working Paper 119 is issued alongside the updated version of the CMI Mortality Projections Model, CMI_2018. An updated version of Working Paper 119 was released in April 2019 to correct text on pages 26 and 37.

More recent versions of the CMI Mortality Projections Model have subsequently been released. A full list of the versions of the Model is available on the mortality projections page.

Important note: updated version of CMI_2018 software

An updated version of the CMI_2018 software, v02, was released in April 2019 to address an issue with the user interface that may lead to incorrect results.

The issue is that if a user:

  • opted to use the Advanced parameters and specified any non-zero value for the constant additions to mortality improvements by age, and
  • reselected the Core parameters,

Then

  • the resulting projection used the values from the Advanced parameters, not the Core value of nil at all ages, and
  • the output from the Model in this scenario would state invalidly that it is from the Core version.

We have also corrected a separate issue that would have prevented the Model from running if the user chose to enable automatic adjustment of smoothing parameters for other populations.

Release of CMI_2018 v3 

We have released CMI_2018 v3, which makes a number of enhancements to the interface to the software since CMI_2018 v2, which do not affect the calculations. The key change, in response to requests from Subscribers, is to allow the initial addition to mortality improvements (“A”) to be used alongside Advanced parameters, rather than only as an Extended parameter, as in CMI_2018 v2.

We previously made CMI_2018 v3 available as a “beta” version. The updated version corrects the calculation of deviance and deviance residuals in cases where age/year cells in the calibration datasets have no deaths. This does not affect the Core dataset, and only has a marginal impact on the fitted model for other datasets that we have tested. We have also amended the formatting of smoothing parameters to show more decimal places.

The new features of CMI_2018 v3 are included in CMI_2019.

The software, and the updated user guide, which describes the various changes, can be obtained using the links. 


A Briefing note on CMI_2018 has also been issued and is publicly available alongside this paper. It provides an overview of the latest version of the Model and is aimed at those receiving advice based on the Model, such as pension scheme trustees and Non-Executive Directors of insurance companies.

The latest version of the Model is calibrated to England & Wales population mortality data up to 31 December 2018. The calibration dataset is constructed in a similar way to the CMI_2017 dataset, but estimates of populations at high ages now incorporate the method proposed in Working Paper 106.

Following a proposal published in Working Paper 114 and confirmed, following consultation, in Working Paper 116, the Core value of the period smoothing parameter, Sk, has been reduced from 7.5 in CMI_2016 and CMI_2017 to 7 in CMI_2018. A new Extended parameter, the “initial addition to mortality improvements”, has been added to the Model software. This allows users to adjust the age-period component of initial mortality improvements more easily to reflect their views on appropriate improvements for specific populations. 

Core Projections generated by CMI_2018 produce lower expectations of life than those produced by CMI_2017 (with other parameters held constant) for all ages for both males and females.

Working Paper 119 contains numerical results from CMI_2018 and commentary. It also contains analysis of recent mortality in the general population and illustrations of the sensitivity of the Model to new data.

The Model is accompanied by a methods paper, containing technical details of the calculations, and a user guide, describing how to use the software. These are updated versions of the methods paper and user guide published alongside Working Paper 105 for CMI_2017. Two additional spreadsheets have been released to show the derivation of the CMI_2018 dataset for males and females. The adjustments to population estimates at high ages are carried out in a separate spreadsheet

The software has been tested and found to work properly using Excel 2010 and Excel 2016 in a Windows environment. If you see a yellow banner in Excel with buttons saying e.g. ‘Enable Editing’ or ‘Enable Content’ then you will need to click on these buttons in order to run the software. If however you see a red banner and the button to proceed is disabled preventing you from running the software than please let us know at Projections@cmilimited.co.uk.

Documents

View the previous versions of the CMI Mortality Projections Model

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Events calendar

  • Current Issues in Life Assurance (CILA) Webinar series

    Webinar Series
    15 July 2020 - 3 August 2020

    Spaces available

    CILA is one of the pre-eminent events in the annual 'Life' calendar. Due to COVID-19 we are running the programme as a series of webinars covering topics aimed at practicing life actuaries from life offices, consulting firms and other employers of actuaries and those who work in or advise on, the life assurance market in the UK and Europe.

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  • Mortality and Longevity Webinar Series 2020

    Webinar Series
    22 July 2020 - 10 August 2020

    Spaces available

    Due to COVID-19, we are running this programme via a series of webinars commencing 22nd July.

    This webinar series will provide topical and practical updates and discussion on the latest thinking and innovations in mortality and longevity, and is designed to be very accessible to a broad range of experience.

     

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    Insurers are making increasing use of medical research to help with assumption, models and underwriting. Experienced mortality/ longevity specialists discuss the issues in the interpretation of  medical research papers, using a range of case studies. The case studies will include COVID-19 points of current importance. Many of the concepts discussed (data bias, inference of causation) are also applicable to equivalent questions in 'big data' and advanced analytics.

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    Members of the Mortality Working Group of the IAA have analysed changes in mortality for about 30 causes of death  and will discuss how causes of death are classified, and the problems of long-term data, appropriate metrics, including "years of life lost" (YLL), causes of death - a "measure of cohortness", the changes in dominant causes of death at older ages, and how can these types of studies enhance mortality forecasting.

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    This discussion, the fourth in the Extreme Mortality Events webinar series, will look at what poor model selection and calibration could look like – using inappropriate historical data; using incorrect 2020 mortality data; and inappropriate stochastic model recalibration (or lack thereof). Presented by Chair of the Life Board of the Institute and Faculty of Actuaries, Colin Dutkiewicz. 

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    This webinar has been re-scheduled from its original date of the 1st July. Although ESG has many buyers across the asset allocation community, from pension funds to sovereign wealth funds, it still hasn’t found its place within the core asset management strategy desks where the money is actually invested. The problem as well as the opportunity is Fixed Income. Plenty of strategies exist for incorporating ESG within Equities, from screening, integration to a combination. ESG has picked up relatively quickly within Equities with rating,indices created using ESG factors. This talk will discuss how we price a quantifiable ESG credit risk premium and make it alpha worthy in a strategy. 

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    Part of the Protection, Health and Care Conference 2020 webinar series

    With the rising prevalence of dementia, how can we manage this risk effectively and can insurance do more? Matt Singleton, Ageing Lead at Swiss Re, will cover these topics and demonstrate how insurance could help people address their concerns.

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    Current Issues in Life Assurance – Join us for an exploration session on the use of data science in insurance companies today including how insurers are making sense of and using new data sources and technologies, exploration of practical applications of data science within actuarial work, benefits of data-driven decisions to solve business problems using the power of data and technology, and the role that actuaries can play to harness the benefits of data science.

     

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    Current Issues in Life Assurance

    This talk will look at a range of such techniques (e.g. mass lapse risk transfer, contract boundaries, risk margin relief, non-standard longevity risk transfer) that have been applied or considered by UK and EU insurers, and the pros and cons of each.

     

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    Current Issues in Life Assurance.

    The International Association of Insurance Supervisors announced on 14 November 2019 the adoption of v2.0 of the global Insurance Capital Standard (ICS) which will undergo confidential reporting for 5 years starting from 2020. This session will include specific experiences from Legal and General (L&G) as well as global industry perspectives from EY.

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    Current Issues in Life Assurance

    This session will cover the PRA supervisory statement on financial impacts related to climate change, industry insights into PRA climate risk business plans, examples climate risk strategy setting out key workstreams and activity steps for successful execution, an overview of a climate risk strategy execution timeline and the future.     

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    Part of the Protection, Health and Care Conference 2020 webinar series. Using new and unique research and data from the UK, US, Sweden and China, this presentation investigates how consumers use the internet through their insurance journey and analyzes the role culture and generation plays in their online behaviour. We use this research to show the online landscape for insurance sales in the UK and suggest ways to shape new products and effectively engage with the consumer who is buying them.

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    Chief Medical Officer (CMO) for Gen Re Life/Health Research and Development, Dr John O'Brien, will discuss the impacts of Gene Modification for life/health insurance. 

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    As an industry, it has been important to be able to look to the future to identify the next quantifiable risk. In this session, I will explore some of the less tangible, but none-the-less concerning risks to future health, such as the health risks associated with exposure to pesticides, ingestion of plastic in the food chain, and the hazards of indoor air pollution through exposure to volatile organic compounds.

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    The working party will help the industry to update and enhance how potential risk from diabetes and excess mortality is considered, including the need to understand the underwriting implications as treatments improve, and potentially to develop new products that are tailored to those with diabetes.

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    Part of the Protection, Health and Care Conference 2020 webinar series. Modelling the structure and trends of cancer morbidity risk is important for pricing and reserving in related health insurance fields such as critical illness insurance and care provision. We model the dynamics of cancer incidence over time in different regions in England, using 1981-2016 ONS data. The modelling allows estimation of cancer rates at various age, year, gender and region levels, following a Bayesian setting to account for statistical uncertainty. Our analysis indicates significant regional variation in cancer incidence rates. 

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    Part of the Protection, Health and Care Conference 2020 webinar series. In this talk we will outline the steps Aviva took in pulling together our first large-scale disclosures on the exposure of our business to climate change published in March 2019; in line with the recommendations of the Taskforce on Climate-related Financial Disclosures. After touching on why insurers have such an important role in climate change, we'll cover a brief “how-to” guide for those who have not yet embarked on thinking about these topics before giving a case study of how the learnings from a TCFD disclosure exercise can be applied to investment portfolios.

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    Part of the Protection, Health and Care Conference 2020 webinar series. 

    The insurance industry currently underwrites customers with diabetes based on a range of factors, medical expertise and various medical studies. The work undertaken by the Diabetes Working Party would help the industry to approach this using current research findings to update and enhance how potential risk from diabetes is considered. This includes the need to understand the underwriting implications as treatments improve, and potentially to develop new products that are tailored to those with diabetes. This webinar will present our latest findings in the management of this important chronic condition which will include research in collaboration with the ARC.