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Sessional Meeting: Allowing for shocks in portfolio mortality models

Wednesday 15 December 2021 10:00 - 11:00

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The Covid-19 pandemic creates a challenge for actuaries analysing experience data that includes mortality shocks.  To address this we present a methodology for modelling portfolio mortality data that offers local flexibility in the time dimension.  The approach permits the identification of seasonal variation, mortality shocks, and late-reported deaths.  The methodology also allows actuaries to measure portfolio-specific mortality improvements.  Results are given for a mature annuity portfolio in the UK

Speaker:

Dr Stephen Richards

Dr. Stephen Richards is the managing director of Longevitas Ltd, a specialist provider of actuarial tools for longevity risk and annuities.  Stephen co-founded Longevitas in 2006 and the software has users in the UK, USA, Canada and Switzerland.  Prior to Longevitas he headed Prudential plc's longevity analysis team, and before that he headed the product-pricing team at Standard Life.  Stephen is an Honorary Research Fellow at Heriot-Watt University, and regularly publishes research addressing practical longevity issues.  A copy of the research paper behind this presentation can be freely downloaded from www.longevitas.co.uk.

 

Chair:

Angus Macdonald

Angus Macdonald graduated in Mathematics from Glasgow University, then joined Scottish Amicable Life Assurance Society, qualifying Fellow of the Faculty of Actuaries (FFA) in 1984. In 1989 he moved to Heriot-Watt University, obtaining a PhD in 1995 and being appointed Professor in 2000 and serving as Head of the Department of Actuarial Mathematics and Statistics from 2007-2013. He was a member of Faculty Council from 1998 to 2007. In 1999 he set up the Genetics and Insurance Research Centre, which has since produced most of the actuarial research on this subject, including two papers that won the David Garrick Halmstad prize in 2005. He was elected Fellow of the Royal Society of Edinburgh in 2006 and was awarded the Finlaison Medal by the profession in 2011. He is currently Editor-in-Chief of Annals of Actuarial Science.

Event organiser

Contact Niki Park for more information.

Niki.Park@actuaries.org.uk

020 7632 2152

Pricing information

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