Description: This paper provides a description of a system using statistical spatial methods for measuring, analysis, and managing ERM losses. An example of its application to a delinquency rate in a residential mortgage portfolio analysis demonstrates how this methodology can help decrease a company’s exposure in high-risk areas and increase exposure in low-risk areas.

Description: This article argues for the re-introduction of Tontine Annuities.

Description: Abstract: Earlier studies found that parental characteristics as well as early-life conditions and mid-life environment play a significant role in survival to advanced ages. However, little is known about simultaneous effects of all these three factors on longevity. This ongoing study attempts to fill this gap by comparing American centenarians born in 1890-1891 with their short-lived peers born in 1890 and died at age 65 years. The records were taken from computerized family histories, which were then linked to 1900 and 1930 U.S. censuses. The study found that parental longevity and some mid-life characteristics proved to be significant predictors of longevity while the role of childhood conditions was less important. More centenarians were born in the second half of the year compared to controls suggesting early origins of longevity. The results of this study suggest that familial background, early-life conditions and mid-life characteristics play an important role in longevity.

Description: Despite a considerable accumulation of empirical and theoretical evidence in the last two decades in favor of a slowdown in the rate of mortality increase with age, the veracity of mortality deceleration observed at very old ages among humans was recently called into question on the basis of: (1) inaccurate data, (2) invalid assumptions, and/or (3) inadequate mixture of birth cohorts with different mortality experiences. In this article, we use a highly reliable set of individual-level data on French-Canadians centenarians born between 1870 and 1896 and who died between 1970 and 2009 to compute new estimates of the age-trajectory of mortality at ages 100 and over. Our results suggest that the rate of mortality increase with age tends to slow down at very old ages, even when special care is taken to avoid issues (1) to (3) outlined above.

Description: Session 3a discussion

Description: Session 3b discussant comments

Description: This article looks at changes in life spans and retirement ages. The changes are completely out of sync. The history of retirement and retirement ages is reviewed. The article finds that while life spans were increasing for many years, retirement ages were dropping and then they had a modest increase recently. There are parallel issues in many countries and some international data is provided. The issue of working as part of retirement and phased retirement are introduced. The article concludes that more change is needed and that the failure to keep retirement ages updated is one of the reasons for the decline in defined benefit plans.

Description: Mortality in England and Wales has changed dramatically since 1841. Recent studies of the late modal age at death show that some low mortality countries are demonstrating a shifting mortality scenario following overall mortality compression, which dominated from 1900. England and Wales have appeared briefly in these works but are not the sole focus. This report will focus solely on males and females in England and Wales by smoothing, using a nonparametric method, mortality rates from the Human Mortality Database which are then used to construct period life tables from which modal age at death can be extracted for each year from 1841 to 2010. Mortality compression around and above the mode are also measured. Evidence is not strong enough to suggest England and Wales are demonstrating a shifting mortality scenario. In fact, females may be in an “intermediate situation” characteristic of moving into the shifting mortality scenario. This report recommends modal age at death should be used in combination with other measures of life duration in order to draw a comprehensive picture of mortality changes in low mortality countries. A further recommendation is for the Office for National Statistics (ONS) to use this technique to gain a greater understanding of the mortality and longevity they project for the future for England, Wales and the rest of the United Kingdom.

Description: Mortality in England and Wales has changed dramatically since 1841. Recent studies of the late modal age at death show that some low mortality countries are demonstrating a shifting mortality scenario following overall mortality compression, which dominated from 1900. England and Wales have appeared briefly in these works but are not the sole focus. This report will focus solely on males and females in England and Wales by smoothing, using a nonparametric method, mortality rates from the Human Mortality Database which are then used to construct period life tables from which modal age at death can be extracted for each year from 1841 to 2010. Mortality compression around and above the mode are also measured. Evidence is not strong enough to suggest England and Wales are demonstrating a shifting mortality scenario. In fact, females may be in an “intermediate situation” characteristic of moving into the shifting mortality scenario. This report recommends modal age at death should be used in combination with other measures of life duration in order to draw a comprehensive picture of mortality changes in low mortality countries. A further recommendation is for the Office for National Statistics (ONS) to use this technique to gain a greater understanding of the mortality and longevity they project for the future for England, Wales and the rest of the United Kingdom.

Description: Understanding the variability of survival probabilities, both between and within cohorts, is important in order to understand life-cycle decisions under uncertainty. In this paper we analyze the subjective probabilities of survival to specific target ages provided by respondents to the Survey of Health, Ageing and Retirement in Europe (SHARE). To evaluate how these probabilities compare with objective data from life tables, and avoid the problems associated with a naive use of period life tables, we construct cohort life tables from the sequence of period life tables available in the Human Mortality Database and use them to compute actuarial probabilities of survival to the same target ages. We find that male subjective survival probabilities are close to the probabilities computed from our cohort life tables, whereas female subjective probabilities are always lower. We also find that subjective survival probabilities are on average higher for more educated people, those with higher household income, and those with better health. This evidence suggests that both income and health matter for own assessments of subjective survival.