Sessional meeting: Robust mortality forecasting in the presence of outliers

Mon 27 Nov 2023 -
17:00 - 19:30

Stochastic mortality models are important for a variety of actuarial tasks, from best-estimate forecasting to assessment of risk-capital requirements.

However, the mortality shock associated with the Covid-19 pandemic distort forecasts.

In this paper and presentation, we look at the robustification of three broad model classes: univariate time indices, such as in the Lee-Carter model; multivariate time indices, such as in the Cairns-Blake-Dowd model family; and penalty projections, such as with the 2D P-spline model.

Schedule

Registration: 17.00 to 17.30
Event: 17.30 to 18.30
Networking: 18.30 to 19.30

Papers and reports

Robust mortality forecasting in the presence of outliers (995 KB PDF)

Featured Speakers

Stephen J. Richards

Longevitas

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.

Before founding Longevitas, he headed Prudential plc's longevity analysis team, and he headed the product-pricing team at Standard Life. Stephen, an Honorary Research Fellow at Heriot-Watt University, regularly publishes research addressing practical longevity issues.