The issue was widely publicised, together with an initial indication of its impact on annuity values. During the re-work the CMI found an error in the projection software in the calculation of deviance residuals used in boot-strapping simulations for the Lee-Carter models which also affects some of the values in CMI Working Paper 25. Registered users of the CMI's illustrative software were also advised of this issue.
This dataset has also been made available to the Profession, together with the illustrative mortality projections software, without specifying what definition had been used for the exposures. As this software fits mu values, users could reasonably expect the dataset to include Central Exposures but it actually contains Initial Exposures. Therefore, the dataset needed to be adjusted before being used with the software. Central Exposures can be estimated for each age and year from the Initial Exposures using the following formulae:
Central Exposure = Initial Exposure - 0.5 x Deaths.
More details on these two issues and corrections to the parts of CMI Working Papers 20, 25 and 27 affected by these issues is contained in the document Errata to CMI Working papers 20, 25 and 27 on mortality projections.
- The versions of CMI Working Papers 20 and 25 on the website have been replaced with revised versions
- Working Paper 27 has not been revised so that the document on which the CMI sought the views of the Profession remains as it was for consultation; although its content is effectively replaced by Working Paper 30 and the User Guide being issued alongside version 1.0 of the library
- A new release of the software is being sent to all registered users to correct the calculation of the deviance residuals.
- 1 November 2007
CMI Working paper 20 (revised). Stochastic projection methodologies - Further progress and P-Spline model features, example results and implications.1 November 2007
CMI Working paper 27. The library of mortality projections and the draft "library" of mortality projections10 July 2007
- 23 November 2007
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