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The Importance of Year of Birth in Two-Dimensional Mortality Data

Published online by Cambridge University Press:  10 June 2011

S. J. Richards
Affiliation:
4 Caledonian Place, Edinburgh EH11 4AS, U.K. Email: stephen@richardsconsulting.co.uk Web: www.richardsconsulting.co.uk; Tel: +44(0)131 315 4470

Abstract

Late-life mortality patterns are of crucial interest to actuaries assessing longevity risk. One important explanatory variable is year of birth. We present the results of various analyses demonstrating this, including a statistical model which lends weight to the importance of year-of-birth effects in both population and insured data. We further find that a model based on age and year of birth fits United Kingdom mortality data better than a model based on age and period, suggesting that cohort effects are more significant than period effects. The financial implications of these cohort effects are considerable for portfolios with long-term longevity exposure, such as annuities written by insurance companies and defined benefit pension schemes.

Type
Sessional meetings: papers and abstracts of discussions
Copyright
Copyright © Institute and Faculty of Actuaries 2006

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