Description: We propose an age-shift model to modify the LC model and deal with the problem of parameters. The proposed method attains smaller estimation errors with respect to mean absolute percentage error or mean square error. We also apply the proposed age-shift model to the mortality rates of these four countries to evaluate the longevity risk in annuity products by measuring life expectancy.

Description: This article proposes a framework for estimating mortality improvement models and analyzing the parameter uncertainty in such models.

Description: This paper discusses the current trend toward improved mortality rates at older ages. The paper then fits models to past trends, and projects future mortality based on a forward projection of these trends, and calculates annuity values based on these projections. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

Description: This is the informal discussion transcript for Session 4B: Mortality Projections from the January 4-6, 2017 Living to 100 Symposium in Orlando.

Description: In this paper, we investigate the dynamics of the Lee-Carter mortality index parameter kt. Specifically, we perform statistical hypothesis tests to examine whether the mortality indexes for Canada, England and Wales and the United States are best described by stochastic trends difference stationary models or deterministic trends trend stationary models. The empirical results favor broken-trend stationary models over difference stationary models, which are used in most previous applications of the Lee-Carter method. The results also give strong statistical evidence that the rates of mortality decline for the three populations have significantly accelerated in mid-1970s.

Description: Transcript of the Q&A period from Session 4B. Papers presented: Typology and Review of Measures of Human Aging, Longevity and Superlongevity with Applications to US Data and Some Implications for US Public Programs and, Mortality Measurements at Advanced Ages: A Study of the Social Security Master Death File

Description: Statistical properties of interest, annuity and insurance functions are examined when mortality and interest are treated as having a random component. Several special models of interest rate fluctuation are examined in detail. It is hoped that such theory will be useful in developing fluctuation reserves and premium margins. Presented at the 13th Annual Actuarial Research Conference, Ball State University, August 31st. September lst, 2nd. 1978.

Description: As a life reinsurer, understanding mortality risk is mission critical. Superior models of mortality risk lead to more competitive pricing in profitable market segments and more efficient use of capital. Surprisingly, modern statistical tools such as predictive modeling have not previously been used to model mortality data to gain this edge. In this paper, we present the use of a predictive modeling technique called projection pursuit regression PPR to model mortality data. We first describe the process of creating a PPR model using inter-company mortality data collected by the Individual Life Experience Committee of the Society of Actuaries, and present the resulting model. We then discuss the process of using this model as a starting point for creating a more detailed PPR model of internal company mortality data.

Description: This is the informal discussion transcript from Session 3A: Mortality Inequality; Impact of Socioeconomic Factors from the 2017 Living to 100 Symposium.

Description: This is the discussant comments for the concurrent Session 4B: Mortality Projections from the January 4-6, 2017 Living to 100 Symposium in Orlando.