Description: 2011 Enterprise Risk Management Symposium, Chicago. This is the abstract of the referenced paper.

Description: 2011 SOA Enterprise Risk Management Symposium, Chicago. This paper suggests the use of a policy event-based loss estimation method using expert input and simulation for forecasting long duration expenditures: that is to say, there is an efficient time, which is random and observable to replace a physical asset.

Description: Presented at Living to 100 Symposium, January 2011. This paper addresses the question of how socioeconomic and demographic characteristics, health status and health behaviors are associated with oldest-old mortality and survivorship among people who have survived to old age. Data comes from the 1990-91 National Health Interview Survey’s Health Promotion and Disease Prevention Supplement and the mortality follow-up through 2002. The results indicate that activity limitation and exercise status, in combination with education, play an important role in survival into ages between 65 and 85, but have a smaller effect on survival among the oldest-old population of 85+.

Description: Presented at Living to 100 symposium, January 2011. Using longitudinal data from the Canadian National Population Health Survey, this paper seeks to identify social, behavioral and psycho-social factors associated with change in health status to provide insight for the aging baby boomers to help them foster a healthy aging experience.

Description: Presented at Living to 100 symposium, January 2011. This paper investigates dynamic properties of age trajectories of physiological indices and their effects on mortality risk and longevity using longitudinal data on more than 5,000 individuals collected in biannual examinations of the Framingham Heart Study original age group during about 50 subsequent years of follow up.

Description: We demonstrate an integrated enterprise risk management (ERM) solution to optimize the risk portfolio, identify natural hedges, create an optimal risk treatment plan, enhance risk culture, and facilitate risk reporting throughout the organization.

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.