On age-period-cohort parametric mortality rate projections

An enhanced version of the Lee–Carter modelling approach to mortality forecasting, which has been extended to include an age modulated cohort index in addition to the standard age modulated period index, is described and tested for prediction robustness. Life expectancy and annuity value predictions, at pensioner ages and for various periods are compared, both with and without the age modulated cohort index, for the England & Wales male mortality experience. The simulation of prediction intervals for these indices of interest is discussed in detail

Modelling and projecting mortality improvement rates using a cohort perspective

We investigate the feasibility of defining, modelling and projecting of (scaled) mortality improvement rates along cohort years-of-birth, that is, using a cohort perspective. This is in contrast to the approach in the literature which has considered mortality improvement rates that are defined by reference to changes in mortality rates over successive calendar years, that is, using a period perspective. In this paper, we offer a comparison of the 2 parallel approaches to modelling and forecasting using mortality improvement rates. Comparisons of simulated life expectancy and annuity value predictions (mainly by the cohort method) using the England & Wales population mortality experiences for males and females under a variety of controlled data trimming exercises are presented and comparisons are also made between the parallel cohort and period based approaches

Social Judgement, the Semantic Differential, and Attitude Intensity

The basic problem of this study Is whether or not the semantic differential attitude instrument may be used to measure attitude Intensity. The method of determining this is to use an instrument which is known to measure attitude Intensity in conjunction with the semantic differential and determine whether or not a significant correlation exists between the two

Using content language analysis system indexes (CLASI) in the development of English testing materials

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Tailoring the nonlinear response of hollow-core photonic bandgap fibres

International audienceWe have fabricated 7-cell and 3-cell core hollow-core photonic bandgap fibres with core sizes ranging from 16.7 mu m to 6.5 mu m. A numerical study of the nonlinear coefficient of fibres with different core sizes is carried out. We show that the nonlinearity is more effectively increased by a 3-cell core design than by reducing the size of a seven-cell core

De-risking strategy: Longevity spread buy-in

The paper proposes a demographic de-risking strategy for a pension provider, to deal with the future uncertainty in longevity over a long time horizon. The innovative idea of a longevity spread buy-in is presented. The formulae for calculating the buy-in premium are proposed in the case of pension plans. The proposal directly impacts the pension provider’s risk management systems and hence can be an important part of the overall approach to risk management. The numerical results, developed under specified stochastic hypotheses for the dynamics of the underlying financial and demographic processes, show how the proposal of the paper can be practically implemented

Computational framework for longevity risk management

Longevity risk threatens the financial stability of private and government sponsored defined benefit pension systems as well as social security schemes, in an environment already characterized by persistent low interest rates and heightened financial uncertainty. The mortality experience of countries in the industrialized world would suggest a substantial age-time interaction, with the two dominant trends affecting different age groups at different times. From a statistical point of view, this indicates a dependence structure. It is observed that mortality improvements are similar for individuals of contiguous ages (Wills and Sherris, Integrating financial and demographic longevity risk models: an Australian model for financial applications, Discussion Paper PI-0817, 2008). Moreover, considering the dataset by single ages, the correlations between the residuals for adjacent age groups tend to be high (as noted in Denton et al., J Population Econ 18:203-227, 2005). This suggests that there is value in exploring the dependence structure, also across time, in other words the inter-period correlation. In this research, we focus on the projections of mortality rates, contravening the most commonly encountered dependence property which is the "lack of dependence" (Denuit et al., Actuarial theory for dependent risks: measures. Orders and models, Wiley, New York, 2005). By taking into account the presence of dependence across age and time which leads to systematic over-estimation or under-estimation of uncertainty in the estimates (Liu and Braun, J Probability Stat, 813583:15, 2010), the paper analyzes a tailor-made bootstrap methodology for capturing the spatial dependence in deriving confidence intervals for mortality projection rates. We propose a method which leads to a prudent measure of longevity risk, avoiding the structural incompleteness of the ordinary simulation bootstrap methodology which involves the assumption of independence

Forecasting mortality in subpopulations using Lee-Carter type models: A comparison

The relative performance of multipopulation stochastic mortality models is investigated. When targeting mortality rates, we consider five extensions of the well known Lee–Carter single population extrapolative approach. As an alternative, we consider similar structures when mortality improvement rates are targeted. We use a dataset of deaths and exposures of Italian regions for the years 1974–2008 to conduct a comparison of the models, running a battery of tests to assess the relative goodness of fit and forecasting capability of different approaches. Results show that the preferable models are those striking a balance between complexity and flexibility