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Pension seminar 2004 CURRENT ISSUES IN MORTALITY

abcd. Pension seminar 2004 CURRENT ISSUES IN MORTALITY. Dublin – 1 June 2004 Tony Leandro. Age. 95. Key. >4.2%. 90. 4.2%. 80. 3.6%. 3.0%. 70. 2.4%. 1.8%. 60. 1.2%. 0.6%. 50. 0%. -0.6%. 40. -1.2%. <-1.2%. 30. 20. 1948. 1960. 1970. 1980. 1990. 1999. GAD Contour map

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Pension seminar 2004 CURRENT ISSUES IN MORTALITY

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  1. abcd Pension seminar 2004CURRENT ISSUES IN MORTALITY Dublin – 1 June 2004 Tony Leandro

  2. Age 95 Key >4.2% 90 4.2% 80 3.6% 3.0% 70 2.4% 1.8% 60 1.2% 0.6% 50 0% -0.6% 40 -1.2% <-1.2% 30 20 1948 1960 1970 1980 1990 1999 GAD Contour map Males, England & Wales

  3. Age 95 Key >4.2% 90 4.2% 80 3.6% 3.0% 70 2.4% 1.8% 60 1.2% 0.6% 50 0% -0.6% 40 -1.2% <-1.2% 30 Local Peak > 1.5% 20 1948 1960 1970 1980 1990 1999 Contour map of 2D graduation Assured lives, males, all durations

  4. 29 a(55)M 27 PA(90)M PMA80 25 PMA92 Expectation of Life Times 23 PMA92mc 21 PMA92lc PMA92sc 19 17 1970 1980 1990 2000 2010 2020 2030 Expectation of life for males aged 60 1999lc 1999mc 1992 1980 1968 1955

  5. Financial effects, Males aged 65, 3%

  6. Financial effects, interest adjust. from PA(90)-2, Males aged 65, 3%

  7. Update on self-administered pensioner investigation Update on CMI investigations Data collection The work of the Working Parties Some observations on projecting mortality Current issues in mortality - Agenda

  8. 99 Schemes Number of records in database 1.04m 6 largest schemes cover 50% of the data 9 Consultancies have contributed data Data for 1996 to 2003 13 industry types, significant amounts of data for 7 Lots of data categories The SAPS mortality investigation - Summary

  9. Data collection cycle

  10. The SAPS mortality investigation - Males

  11. The SAPS mortality investigation - Females

  12. Mortality of self-administered pensioners 2000-02 All retirements : Males : Lives Age

  13. Mortality of self-administered pensioners 2000-02 All retirements : Males : Lives Age

  14. Mortality of self-administered pensioners 2000-02 All retirements : Males : Amounts Age

  15. Mortality of self-administered pensioners 2000-02 All retirements : Males : Amounts Age

  16. Mortality of self-administered pensioners 2000-02 All retirements : Females : Lives Age

  17. Mortality of self-administered pensioners 2000-02 All retirements : Females : Lives Age

  18. Mortality of self-administered pensioners 2000-02 All retirements : Females : Amounts Age

  19. Mortality of self-administered pensioners 2000-02 All retirements : Females : Amounts Age

  20. Mortality of self-administered pensioners 2000-02 Dependants : Females : Lives Age

  21. Mortality of self-administered pensioners 2000-02 Dependants : Females : Amounts Age

  22. Mortality of self-administered pensioners 2000-02 Normal : Males : Lives v Amounts (on PML92) Age

  23. Have reported on 2002 and Quad to life offices Data problems do exist Status of CMI Data collection • 1999-2002 Quad is complete

  24. Life Office Pensioners 100A/E using the “92” Series projected mortality rates : Males

  25. Life Office Pensioners 100A/E using the “92” Series projected mortality rates : Females

  26. Life Office Pensioners 100A/E using the “92” Series - medium cohort, projected mortality rates : Males

  27. Life Office Pensioners 100A/E using the “92” Series - medium cohort, projected mortality rates : Females

  28. Graduation Working Party Which tables (not too many!) How should they relate to each other Durations, lives and amounts Experience paper (a CMIR) Work on the “00” Series mortality tables • Projections Working Part • WP3 out now(?)

  29. Behaviour of different mortality models Difference between graduation and projection Effect of size of data set on results The work of the projections working party • Considering how to derive “error” range on projection • Model error • Parameter error • Data error

  30. ... how individual genes affect the ageing process …how various risk factors affect the ageing process … how soon can medical technology reduce the effects of ageing … the impact of lifestyle changes on the various risk factors What you need to attempt mortality forecasts (In the absence of a crystal ball ) • Understanding of the ageing process

  31. Why projections will not be met • Medical technology improvements • Earlier medical interventions to reduce tissue damage • Stalling or reversal of ageing processes • Hidden diseases of old age • Epidemics • Lifestyle changes • Better diets due to health education • Increased intake of vitamins and micro nutrients • Increasing obesity

  32. Variation by smoker status,1995-98, Males (AM92) Age

  33. Variation by smoker status,1995-98, Females (AF92) Age

  34. Mortality by social class

  35. Cause of Claim / Death Life Assurance Critical Illness Claims by cause as percentage of All Claims Critical Illness v Life Assurance - Males %

  36. Cause of Claim / Death Life Assurance Critical Illness Claims by Cause as percentage of All ClaimsCritical Illness v Life Assurance - Females %

  37. Expectation of life at age 65 in 2000

  38. Projection methodologies • Process-based • Explanatory-based • Extrapolative

  39. Fitted and projected model of larger (top) and smaller (bottom) mortality experience. P-spline model with separate smoothing parameters. 95% c.i.s shown.

  40. Fitted and projected model of larger (top) and smaller (bottom) mortality experience. P-spline model with smoothing parameter chosen to favour goodness-of-fit. 95% c.i.s shown.

  41. Fitted and projected model log μ65(t) = a + log μ65(t) of larger (top) and smaller (bottom) mortality experience. P-spline model with smoothing parameter chosen to favour goodness-of-fit. 95% c.i.s shown.

  42. Things to read • Working paper 3 – projections • Working paper 4 – SAPS investigation • Working paper 8 – Which tables? • Longevity in the 21st Century • Plus more to come … • Working paper 1&2 (SIAS paper) – cohort

  43. Summary • Falling inflation has magnified the financial effect of this • It is likely that this mortality trend will continue • It is possible that medical science will provide a dramatic step forward • Any forecast will be wrong – the range of possible results is wide • The financial consequences are equally uncertain • In recent years mortality rates have improved very quickly

  44. abcd Pension seminar 2004CURRENT ISSUES IN MORTALITY Dublin – 1 June 2004 Tony Leandro

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