The APCI model is a new addition to the canon of mortality forecasting models. It was introduced by the CMI for parameterising a deterministic targeting model, but this paper shows how the APCI model can be implemented as a fully stochastic model. We demonstrate a number of interesting features about the APCI model, including which parameters to smooth, how the fit to the data compares against some other models, and how the various models behave in value-at-risk (VaR) calculations for solvency purposes.
This research is part of a programme of research sponsored by the Actuarial Research Centre (ARC).
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| 17.00 – 17.30 | Registration and coffee/tea |
| 17.30 – 17.35 |
Chair’s opening remarks Kevin Armstrong, Aviva |
| 17.35 – 18.15 |
Presentation Dr. Stephen J. Richards, Longevitas Dr. Iain D. Currie, Heriot-Watt University Dr. Torsten Kleinow, Heriot-Watt University |
| 18.15 – 18.45 |
Q&A panel session with Chair Authors and Closer |
| 18.45 – 18.55 |
Closer Gavin Jones, Swiss Re |
| 18.55 – 19.00 |
Chair’s closing remarks Kevin Armstrong, Aviva |
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