In August 2007 the CMI became aware that the dataset for Permanent Assurances for Male Lives used in recent research into mortality projections included initial exposures but was used as if these were central exposures

As a result, the results published in CMI Working Papers 20, 25 and 27 and the projections in the draft library that used this dataset were inaccurate.

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.

 In addition:

  • 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.

Related documents

Contact Details

If you have any questions about the CMI please email

info@cmilimited.co.uk

Filter or search events

Start date
E.g., 25/11/2020
End date
E.g., 25/11/2020

Events calendar

  • Spaces available

    The webinar will discuss the challenges and opportunities schemes face in evaluating end game options, choosing a target state and understanding the impact this strategic decision could have on member outcomes long after the “end state” is reached. Adolfo, Kevin and Rhian bring over 60 years of experience in the industry and a variety of perspectives as scheme actuary, covenant adviser, trustee, de-risking adviser and insurer.

  • Spaces available

    Retail banking is going through a period of substantial change as it moves into the digital age. Banks have large amounts of data about their customers and about their risks. Open data application programming interface (APIs) and data science are enabling banks to use their data to offer innovative and sometimes personalised services. Data science is also adding value in risk areas such as fraud detection and cyber security. At the same time, the move to online banking is making it easier for firms including fintechs to enter banking without having to establish branch networks.

  • UK Town Hall 08:30-09:30

    Webinar
    4 December 2020

    Spaces available

    IFoA President Tan Suee Chieh would like to invite you to the Institute and Faculty of Actuaries’ (IFoA) virtual UK Town Hall 2020, hosted by Tan Suee Chieh with IFoA’s Immediate Past President, John Taylor, President Elect, Louise Pryor and IFoA Chief Executive, Stephen Mann.  

  • UK Town Hall 10:00-11:00

    Webinar
    4 December 2020

    Spaces available

    IFoA President Tan Suee Chieh would like to invite you to the Institute and Faculty of Actuaries’ (IFoA) virtual UK Town Hall 2020, hosted by Tan Suee Chieh with IFoA’s Immediate Past President, John Taylor, President Elect, Louise Pryor and IFoA Chief Executive, Stephen Mann.  

  • Spaces available

    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.

  • Spaces available

    Patrick Kennedy, Partner at Gateley Legal and Founding Director of Entrust (a leading professional pensions trustee company), will be delivering an update on the latest legal developments during the course of 2020. With both a pensions legal perspective and over 25 years of trustee service, Patrick will seek to highlight how the letter of the law has continued to evolve against the backdrop of a difficult and challenging year

  • Spaces available

    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. 

  • Spaces available

    Running off the £2 trillion of UK corporate sector defined benefit liabilities in an efficient and effective fashion is the biggest challenge facing the UK pensions industry. Trustees and sponsors overseeing those schemes need to be clear on their target end-state and the associated journey plan – but too few have well articulated and robust plans.

  • Spaces available

    The actuarial skill set has much to offer the banking industry. So many of the skills that actuaries acquire during their working life translate across to the world of banking and yet banking is perceived as an alien environment to many actuaries. But is it?

  • Spaces available

    Covid-19 has required an urgent and cross-practice initiative to facilitate the extensive impact this pandemic has across all industries. IFoA members have been keen to contribute in a different way, so we developed the IFoA Covid-19 Action Taskforce [ICAT] to coordinate our effort, with a more efficient governance.

    We have over 500 volunteers and countless topics which we have amalgamated into 93 workstreams.