Description: Pricing longevity swap reinsurance transactions consists of a number of different actuarial tasks, each of which hides potential pitfalls. The article outlines the pricing process, which includes a detailed analysis of current mortality experience of the portfolio to be transferred, choice and calibration of an appropriate model for mortality improvement trends and the calculation of a risk margin which reflects the uncertainty associated with the pricing best-estimate, which includes mis-estimation risk, model risk, longevity basis risk and stochastic uncertainty.

Description: Summary of SOA research report "Optimizing Risk Retention" which applies parametric survival models and Monte Carlo simulation to a block of term life business.

Description: A case study, in which we applied survival models to analyze the persistency of a life company in Asia and develop a strategy for actively managing the ...

Description: Comments on session 1A presentations

Description: An ‘R file’ with sample R code that essentially produces the modelling and graphing found in the report A Practitioner’s Guide to Statistical Mortality Graduation

Description: This paper outlines a statistical modeling framework for fitting mortality laws to mortality experience data. The process can be used as an alternative to traditional graduation techniques used in mortality table development.

Description: Drivers for mortality are apparently linked to socio-economic differentials within different societal groups. Actuaries are not the only profession interested in unravelling the mystery of why different groups within society experience such different mortality rates. The author gives examples from occupational pension plans in Canada, the UK and Germany.

Description: This practical guide provides actuaries who develop tables from experience data with a statistical modeling framework that can be used as an alternative to traditional graduation techniques.

Description: In this session, morbidity and life expectancy trends are discussed. In addition, a case study in R on how to model the uncertainty associated with incidence of disability, disabled and active deaths and other terminations is presented.