Credibility Educational Resource for Pension Actuaries
Author
Irina Pogrebivsky, FSA, EA
Description
Credibility is a mechanism for estimating a quantity of interest by combining subject experience and relevant experience to improve the estimate.
The objectives of this paper are as follows:
- To provide a clear and concise overview of credibility theory
- To describe and compare the standard approaches
- To provide guidance to pension actuaries on how to apply the theory with respect to mortality
- To showcase examples of real-life situations that can be used as a basis for evaluating relevant
- application based on a specific scenario
- To provide a list of resources on credibility theory that exist within the actuarial profession
Materials
Credibility Educational Resource for Pension Actuaries
mortality-credibility-analysis.xls (live.com)
Acknowledgments
The development of this paper was sponsored by the SOA Pension Section Council. The Council would like to acknowledge the work of the primary author, Irina Pogrebivsky, FSA, EA, along with the significant input of the project oversight group:
- Julie Curtis, FSA, EA, MAAA (Chair)
- Gavin Benjamin, FSA, FCIA
- David Kausch, FSA, EA, FCA, MAAA, MSPA
- Judy Ocaya, FSA, EA, FCA
- Faisal Siddiqi, FSA, FCIA
- Aaron Weindling, FSA, EA, FCA, MAAA
- Cynthia MacDonald, FSA, MAAA, SOA senior experience studies actuary
- Andrew Peterson, FSA, EA, FCA, MAAA, SOA senior staff fellow, Retirement Systems
Additional support and review assistance was provided by Stuart Klugman, FSA, CERA, SOA senior staff fellow, Education; and Mervyn Kopinsky, FSA, EA, SOA experience studies actuary
Questions or Comments?
If you have comments or questions, please send an email to research@soa.org.