Contemporary mortality models for actuarial use

Tue 11 Mar 2025 -
17:30 - 19:00 (GMT)

A joint presentation of both papers. The details are as follows:

Title: On Contemporary Mortality Models for Actuarial Use I: Practice

Authors: Richards, Stephen J. and Macdonald, Angus S.

Abstract: Actuaries must model mortality to understand, manage and price risk. Continuous-time methods offer considerable practical benefits to actuaries analysing portfolio mortality experience. This paper discusses six categories of advantage: (i) reflecting the reality of data produced by everyday business practices, (ii) modelling rapid changes in risk, (iii) modelling time- and duration-varying risk, (iv) competing risks , (v) data-quality checking and (vi) management information. Specific examples are given where continuous-time models are more useful in practice than discrete-time models.

Read the accompanying paper

Title: On Contemporary Mortality Models for Actuarial Use II: Principles

Authors: Macdonald, Angus S. and Richards, Stephen J.

Abstract: We reprise some common statistical models for actuarial mortality analysis using grouped counts. We then discuss the benefits of building mortality models from the most elemental items. This has two facets. First, models are better based on the mortality of individuals, rather than groups. Second, models are better defined in continuous time, rather than over fixed intervals like a year. We show how survival probabilities at the ‘macro’ level arise at the ‘micro’ level from a series of Bernoulli trials over infinitesimally small time periods. Using a multiplicative representation of the mortality hazard rate, we show how counting processes naturally represent left-truncated and right-censored actuarial data, individual or age-grouped. Together these explain the ‘pseudo-Poisson’ behaviour of survival model likelihoods

Read the accompanying paper

Speakers

Chair: Professor Andrew Cairns

Working party speakers:
Professor Emeritus Angus Macdonald BSc PhD FFA FRSE
Dr. Stephen J Richards, Managing Director of Longevitas

Schedule

17.00 to 17.30: Registration and refreshments
17.30 to 17.35: Chair’s welcome
17.35 to 18.20: Presentation of working party paper
18.20 to 18.50: Questions from the floor
18.50 to 19:00: Chair summarises discussion and evening, and closes the night
19.30: Event closes

Scottish Actuaries Club dinner

Find out about the Scottish Actuaries Club and attend the dinner on 11 March (for IFoA Fellow and Associates only). Contact the Club Secretary at admin@scotact.org.uk