Pension Mortality Resources
The Retirement Section Council has created the following page as a resource for actuaries to learn about mortality issues relative to changes in life expectancy, projecting improvements in mortality and so on. The resources linked on this page come from a variety of sources and don't imply an endorsement by the SOA of the views expressed. We expect this page will be updated on a regular basis as new research and papers become available. Special thanks to Larry Pinzur for his significant contribution to this list and organization of resources. If you have suggestions on other resources to include, feel free to email suggestions to Jane Lesch or Mary Stone. Last update: April 2014
Mortality Toolkit Presentation - Last revision: April 25, 2014
The SOA Retirement Section Council has sponsored the creation of this slide presentation for use by pension actuaries. This deck of slides is intended to be used as a starting point for an educational presentation that actuaries may want to use for their clients and/or actuarial staff. Suggestions on how to use the deck are included on slide 2 of the presentation. If there are questions about this presentation, please contact Mary Stone ( email@example.com) or Jane Lesch ( firstname.lastname@example.org).
- Pri-2012 exposure draft document
- Pub-2010 public Retirement Plans Mortality Table
- Mortality Improvement Scale MP-2018
- Mortality Improvement Scale MP-2017
- Mortality Improvement Scale MP-2016
- Mortality Improvement Scale MP-2015
- Mortality Improvement Scale MP-2014
- RP-2014 and RP-2006 Mortality Tables
- Mortality Improvement Scale BB
- Report of the Group Annuity Experience Committee Mortality Experience for 2003 - 2006
- Report of the (SOA) Group Annuity Experience Committee Mortality Experience for 2001-2002
- The RP-2000 Mortality Tables including Supplement
- Human Mortality Database
- SOA Mortality and Other Rate Tables database
- The 1994 Uninsured Pensioner Mortality Table
- The UP-94 and GAR-94 Tables: Issues in Choosing the Appropriate Table
- 1994 Group Annuity Mortality Table and 1994 Group Annuity Reserving Table
- Substitute Mortality
Standards of Practice & Guidance
- Actuarial Standards Board (effective June 30, 2015). "Actuarial Standard of Practice No. 35-Selection of Demographic and Other Noneconomic Assumptions for Measuring Pension Obligations"
- American Academy of Actuaries-Pension Committee (2015). "Selecting and Documenting Mortality Assumptions for Pensions" , Practice Note
- Rosner, B., Raham, C., Orduna, F., Chan, M., Xue, L., Benjazia, Yang, G. (2013) Literature Review and Assessment of Mortality Improvement Rates in the U.S. Population: Past Experience and Future Long-Term Trends"
- Cowell, M.J. (2008). "Health, Wealth and Wisdom-Living Long, Living Well: An Actuary Muses on Longevity"
- "Factors Affecting Retirement Mortality (FARM)-Phase II," by Victor Modugno
- Hayflick, L. (2008). "The Biology of Human Longevity, Aging and Age-Associated Diseases"
- Held, G. (2008). "Predicting the Future; Predicting Mortality" , Actuary of the Future, Issue No. 25
- Kessler, E. (2005). "Turning the Tables: Mortality Tables Should Reflect Improving Mortality" , Contingencies, Nov/Dec 2005
- Munnell, A., Hatch R. & Lee, J. (2004). "Why is Life Expectancy So Low in the United States?" , Center for Retirement Research, Boston College, Aug 2004, No. 21
- National Institute of Aging (2006). "The Future of Human Life Expectancy: Have We Reached the Ceiling or is the Sky the Limit?" , Research Highlights in the Demography and Economics of Aging, March 2006, No.8
- Olshansky, S.J. et. al. (2009), "Aging in America in the Twenty-first Century: Demographic Forecasts from the MacArthur Foundation Research Network on an Aging Society, The Milburn Quarterly, Vol. 87, Issue 4
- Purushotham, M. (2011), "Mortality Improvements: Analysis of the Past and Projection of the Future", The Actuary, Vol. 8 Issue 4
- Purushotham, M., Valdez, E. & Wu, H. (2011), "Global Mortality Improvement Experience and Projection Techniques"
- Siegel, J.S. (2005). "The Great Debate on the Outlook for Human Longevity: Exposition and Evaluation of Two Divergent Views"
- Tuljapurkar, S. & Boe, C. (1998). "Mortality Change and Forecasting: How Much and How Little Do We Know?" NAAJ Vol. 2 No. 4
- Andreev, K. & Vaupel, J. (2005) . "Patterns of Mortality Improvement over Age and Time in Developed Countries: Estimation, Presentation and Implications for Mortality Forecasting"
- "A Practitioner's Guide to Generalized Linear Models" , by Duncan Anderson, et.al.
- Cairns, A.J.G, Blake, D., & Dowd, K. (2006). "A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration." The Journal of Risk and Insurance , 73 (4): 687-718.
- Cairns, A.J.G, et. al. (2007). "A quantitative comparison of stochastic mortality models using data from England & Wales and the United States"
- Continuous Mortality Investigation (CMI) Working Papers Nos. 15, 20, 25, 30, 38, 39, 41, 49, 51
- Debonneuil, E. (2010) "A simple model of mortality trends aiming at universality: Lee Carter + Cohort" . Arxiv, Populations and Evolution. March 9
- Keyes, Katherine M. and Li, Guohua (2010). "A Multiphase Method for Estimating Cohort Effects in Age-Period Contingency Table Data"
- Lee, R. D., and L. R. Carter (1992) "Modeling and forecasting U.S. mortality." Journal of the American Statistical Association , 87: 659-675.
- Renshaw, A.E., and Haberman, S. (2006). "A cohort-based extension to the Lee-Carter model for mortality reduction factors." Insurance: Mathematics and Economics , 38: 556-570.
- Schulhofer-Wohl, Sam and Yang, Yang (2011). "Modeling the Evolution of Age and Cohort Effects in Social Research"
- Yang, Y (2008). "Trends in U.S. Adult Chronic Disease Mortality, 1960-1999: Age, Period, and Cohort Variations" , Demography Vol. 45, No. 2
Mortality and Socioeconomic Status
- Jemal, A. et. al. (2010), "Widening of Socioeconomic Inequalities in U.S. Death Rates 1993-2001" , PLoS One, Vol. 3 Issue 5
- Waldron, H. (2007). "Trends in Mortality Differentials and Life Expectancy for Male Social Security-Covered Workers, by Average Relative Earnings" , SSA, ORES Working Paper 108
- Currie, I., Durban, M. & Eilers, P. (2004).
"Smoothing and forecasting mortality rates"
- Currie, I., Durban, M. & Eilers, P. (2006). "Generalized linear array models with applications to multidimensional smoothing" , J. R. Statist. Soc. B, 68, Part 2, pp. 259-280
- Durban, M., Currie, I. & Eilers, P. (2002). "Using P-splines to smooth two-dimensional Poisson data . Proceedings of 18th International Workshop on Statistical Modelling, Leuven, Belgium, 97-102.
Mortality & Longevity Risk
- Brcic, J. & Brisebois, C. (2010). "An Age Old Story (Longevity Risk)" , Benefits Canada
- Cairns, A., Blake, D & Dowd. K. (2006). "Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk" , ASTIN
- Cairns, A., Blake, D & Dowd. K. (2008). "Modelling and Management of Mortality Risk: A Review" (Version 2), The Pensions Institute, Cass Business School, Discussion Paper PI-0814
- LLMA (2010). "Longevity Pricing Framework"
Relevant SOA Sessions
- Coping with Longevity-The New German Annuity Valuation Table DAV 2004 R ; "Living to 100" Symposium 2005, Session 4B
- Mortality Analysis and Trends ; "Living to 100" Symposium 2011, Session 4B
Canadian Institute of Actuaries
- "Improvement in Annuitant Mortality-Canada," Report of the Subcommittee on Annuity Mortality Committee on Expected Experience of the Canadian Institute of Actuaries
- Mortality Improvement Research Paper (2010).
SSA and NCHS
- United States Life Tables. Centers for Disease Control
- Bell, F & Miller, G. (2005), Life Tables for the United States Social Security Area 1900-2100, SSA Actuarial Study No. 120.
Other Relevant Websites