Description: The CBD Mortality Indexes: Modeling and Applications

Description: Over the last century, the assumption usually made was that causes of death are independent, although it is well-known that dependencies exist. Recent developments in econometrics allow, through Vector Error Correction Models (VECM), to model multivariate dynamic systems including time dependency between economic variables. Common trends that exist between the variables may then be highlighted, the relation between these variables being represented by a long-run equilibrium relationship. In this work, VECM are developed for causes-of-death mortality. We analyze the five main causes of death across ten major countries representing a diversity of developed economies. The World Health Organization website provides cause-of-death information over about the last 60 years. Our analysis reveals that long-run equilibrium relationships exist between the five main causes of death, improving our understanding of the nature of dependence between these com peting risks over recent years. It also highlights that countries had usually different past experience in regards to cause-of-death mortality trends and thus, applying results from one country to another may be misleading.

Description: Session 2b discussant comments

Description: The projection of future mortality experience constitutes a challenge for both actuaries and demographers. As we show, some of the currently used standard mortality projections have several shortcomings which might pose a serious threat to insurers, pension funds, and social security systems. In this paper, we propose a new projection methodology which overcomes these shortcomings. We introduce a model which allows mortality improvements to depend on age, period, and cohort, and we explain how the model can be estimated and applied. In particular, we show how coherent projections for several populations, i.e. males and females of the same country and populations from closely related countries, can be derived. The basis for these projections are coherent extrapolations of historical life expectancies. As aggregated mortality statistics, life expectancies typically exhibit steady patterns which often makes forecasting rather obvious. We observe that the incorporation of information on the mortality experience of other populations can have a significant impact on the projection for a given population. A comparison with other commonly used projection models shows that our methodology provides stable and highly plausible projections. Finally, we discuss uncertainties in our projection approach and explain how they can be accounted for. In order to illustrate our methodology, we derive fully specified projections for German males and females as members of a large reference set of European populations.

Description: Longevity risk—the risk of outliving one’s retirement savings—is probably the greatest risk facing current and future retirees in the United States. As life expectancy increases, government programs, private pensions and various financial products will all be needed to provide retirement income over ever-longer periods of retirement. This article focuses on the optimal mix of social insurance, pensions and financial products that should be used to provide retirement income to the oldest old, here defined as those 90 and older. To be sure, Social Security and Supplemental Security Income (SSI) are already designed to provide modest, inflation-adjusted retirement benefits to all retirees. On the other hand, pensions and other forms of retirement savings are often dissipated long before people reach the esteemed status of oldest old. One approach for enhancing the retirement incomes of the oldest old would be to expand Social Se curity and SSI. Another approach would be to strengthen the protections provided by pensions and other forms of retirement savings. In particular, the private sector could be encouraged to sell more annuities and other lifetime income products, and, perhaps, the government should also get into the business of selling annuities. These are the kinds of solutions needed to ensure the oldest old face their final years with adequate economic resources.

Description: Is Secondary Prevention of Alzheimer’s Disease Possible? A Discussion of Studies in the Alzheimer’s Disease Field

Description: The paper o ers a simple framework for ranking the common reinsurance struc- tures in practice with the theory of stochastic orders. The basic idea is to slice the space of reinsurance structures into groups by expected loss cost to facilitate the comparisons within the group and between groups. Given the standard risk aversion assumption in economics, a spectrum of reinsurance structures with the same expected loss cost can be compared analytically with one another and sequenced based on their risk coverages under the convex order. The paper then expands the dimension of the comparison to groups of reinsurance structures with di erent expected loss costs, which can be ranked under the increasing convex order and the usual stochastic order. As such, the paper maps out the ordering for the entire space of reinsurance structures and presents it in a ma- trix format for quick reference. The implication of this stochastic ordering to reinsurance pricing is also investigated.

Description: Adaptive Risk Management harnesses social intelligence to identify emerging risks. We have entered an age of disruption where exponential technologies are transforming every industry. The ability to pivot in a rapidly evolving ecosystem is essential. Centralized “predict and control” paradigms will increasingly fail as complex interactions drive phase transitions. Successful organizations will harness social intelligence to “sense and respond” to giant waves of change. Maps amplify intelligence to help us navigate challenging terrain. Maps play a central role in all command centres, enabling rapid risk identification with a shared visual language. Interactive financial network maps allow analysts to explore and diagnose systemic fragilities, and mitigate critical vulnerabilities. Dynamic financial maps can also build visual intuition to detect escalating risk patterns. After observing early warning signals, analysts can apply network analytics to estimate likely second order effects. This allows organizations to proactively manage emerging risk before tipping points are crossed.

Description: The author constructed the efficient frontier of new business sales by modeling the embedded value and economic capital against a universe of possible growth rates of the three lines of business in a typical three-year planning horizon. The ERM function can use the efficient frontier of new business to provide a more rigorous analysis of the impact of growth rates on the firm’s overall capital efficiency and value creation, hence forming a feedback loop with the businesses in the planning process to optimize the growth strategy.