Ch11.part2.w09

Ch11.part2.w09 - Outline ACTSC 433/833 Winter 09 Chapter 11...

Info iconThis preview shows pages 1–10. Sign up to view the full content.

View Full Document Right Arrow Icon
Outline ACTSC 433/833 Winter 09 Chapter 11 – Contemporary Issues Part II – Stochastic Mortality Models Johnny Li Department of Statistics and Actuarial Science, University of Waterloo March, 2009
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Outline Outline 1 Older Methods for Estimating Future Mortality 2 Considerations in Building a Stochastic Mortality Model 3 The Lee-Carter Model 4 The Two-Factor Model
Background image of page 2
Older Methods for Estimating Future Mortality Considerations in Building a Stochastic Mortality Model The Lee-Carter Model The Two-Factor Model Did Actuaries Anticipate People Would Live Longer? Yes, of course. Actuaries use “improvement scales” to project future mortality rates. E.g., Society of Actuaries Scale AA: IS( x , s ) = (1 - AA x ) s , where s is the number of years from now.
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Older Methods for Estimating Future Mortality Considerations in Building a Stochastic Mortality Model The Lee-Carter Model The Two-Factor Model Did Actuaries Anticipate People Would Live Longer? Yes, of course. Actuaries use “improvement scales” to project future mortality rates. E.g., Society of Actuaries Scale AA: IS( x , s ) = (1 - AA x ) s , where s is the number of years from now.
Background image of page 4
Older Methods for Estimating Future Mortality Considerations in Building a Stochastic Mortality Model The Lee-Carter Model The Two-Factor Model Did Actuaries Anticipate People Would Live Longer? Yes, of course. Actuaries use “improvement scales” to project future mortality rates. E.g., Society of Actuaries Scale AA: IS( x , s ) = (1 - AA x ) s , where s is the number of years from now.
Background image of page 5

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Older Methods for Estimating Future Mortality Considerations in Building a Stochastic Mortality Model The Lee-Carter Model The Two-Factor Model Scale AA Sample values of AA x : Age ( x ) Males Females 55-59 1.6-1.9% 0.5-0.8% 60-64 1.4-1.6% 0.5% 65-69 1.3-1.4% 0.5% E.g., Estimate of q 69 for females in 2009 is q 69 , 2007 × (1 - 0 . 005) 2 . Values of AA x were estimated by trending past observations and “actuarial judgement”.
Background image of page 6
Older Methods for Estimating Future Mortality Considerations in Building a Stochastic Mortality Model The Lee-Carter Model The Two-Factor Model Scale AA Performance of Scale AA: Age group Scale AA Actual Reduction (1996–2005) 60-64 0.5% 1.67% 65-69 0.5% 1.53% 70-74 0.5-0.7% 1.50% 75-79 0.7-0.8% 1.41% Annual reduction implied by Scale AA and average annual reduction of Canadian female population mortality from 1996 to 2005.
Background image of page 7

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Older Methods for Estimating Future Mortality Considerations in Building a Stochastic Mortality Model The Lee-Carter Model The Two-Factor Model Trends of Death Rates -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 1950 1960 1970 1980 1990 2000 Year Central Death Rate in Log Scale Age 0 Age 10 Age 20 Age 30 Age 40 Age 50 Age 60 Age 70 Age 80 Age 90 Central Death Rates, Canadian Females, 1950–2004
Background image of page 8
Older Methods for Estimating Future Mortality Considerations in Building a Stochastic Mortality Model The Lee-Carter Model The Two-Factor Model What Do We Need to Consider?
Background image of page 9

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 10
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 10/30/2009 for the course ACTSC 433 taught by Professor Johnny during the Winter '09 term at Waterloo.

Page1 / 45

Ch11.part2.w09 - Outline ACTSC 433/833 Winter 09 Chapter 11...

This preview shows document pages 1 - 10. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online