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

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Unformatted text preview: Outline ACTSC 433/833 Winter 09 Chapter 11 Contemporary Issues Part I What Is Longevity Risk? Johnny Li Department of Statistics and Actuarial Science, University of Waterloo March, 2009 Outline Outline 1 The Problem Mortality on the Move The Need for an Estimate of Future Mortality The Role of the Law of Large Numbers 2 Possible Solutions The Problem Possible Solutions Mortality on the Move The Need for an Estimate of Future Mortality The Role of the Law of Large Numbers Life Expectancy at Birth 69 71 73 75 77 79 81 83 1950 1955 1960 1965 1970 1975 1980 1985 1990 1995 2000 Year Life Expectancy at Birth Value of o e , Canadian Females, 19502004 The Problem Possible Solutions Mortality on the Move The Need for an Estimate of Future Mortality The Role of the Law of Large Numbers Life Annuity at Age 65 14 15 16 17 18 19 20 21 1950 1955 1960 1965 1970 1975 1980 1985 1990 1995 2000 Year Annuity Rate Values of a 65 at i = 2%, Canadian Females, 19502004 The Problem Possible Solutions Mortality on the Move The Need for an Estimate of Future Mortality The Role of the Law of Large Numbers Death Rate at Age 30 Age 30-8.2-8-7.8-7.6-7.4-7.2-7-6.8-6.6-6.4 1950 1960 1970 1980 1990 2000 Year Central Death Rate in Log Scale Values of m 30 , Canadian Females, 19502004 The Problem Possible Solutions Mortality on the Move The Need for an Estimate of Future Mortality The Role of the Law of Large Numbers Death Rate at Age 90 Age 90-2-1.9-1.8-1.7-1.6-1.5-1.4-1.3 1950 1960 1970 1980 1990 2000 Year Central Death Rate in Log Scale Values of m 90 , Canadian Females, 19502004 The Problem Possible Solutions Mortality on the Move The Need for an Estimate of Future Mortality The Role of the Law of Large Numbers Key Observations Survival distributions are changing with time. There has been a steady reduction in mortality rates. The impact of such a reduction on annuity and pension plan providers is highly significant. Trends of mortality rates are noisy, rather than smooth. Prediction of future mortality is a bumpy road to Shangri-La. The Problem Possible Solutions Mortality on the Move The Need for an Estimate of Future Mortality The Role of the Law of Large Numbers Key Observations Survival distributions are changing with time. There has been a steady reduction in mortality rates. The impact of such a reduction on annuity and pension plan providers is highly significant. Trends of mortality rates are noisy, rather than smooth. Prediction of future mortality is a bumpy road to Shangri-La. The Problem Possible Solutions Mortality on the Move The Need for an Estimate of Future Mortality The Role of the Law of Large Numbers Key Observations Survival distributions are changing with time....
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This note was uploaded on 10/30/2009 for the course ACTSC 433 taught by Professor Johnny during the Winter '09 term at Waterloo.

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

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