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A Hermite-spline model of post-retirement mortality

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  • Stephen J. Richards

Abstract

We present a model for post-retirement mortality where differentials automatically reduce with increasing age, but without the fitted mortality rates for subgroups crossing over. Selection effects are catered for, as are age-modulated time trends and seasonal variation in mortality. Central to the model are Hermite splines, which permit parsimonious modelling of complex risk factors in even modest-sized portfolios. The model is therefore suitable for the stand-alone analysis of experience data for reinsurance, bulk annuities and longevity swaps. We also illustrate the contrast between the statistical significance of a risk factor and its financial significance and discuss reasons why one might include risk factors like season that are not directly financially significant.

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  • Stephen J. Richards, 2020. "A Hermite-spline model of post-retirement mortality," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2020(2), pages 110-127, February.
    • Handle: RePEc:taf:sactxx:v:2020:y:2020:i:2:p:110-127
    DOI: 10.1080/03461238.2019.1642239
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    Cited by:

    1. Xiaobai Zhu & Kenneth Q. Zhou & Zijia Wang, 2024. "A new paradigm of mortality modeling via individual vitality dynamics," Papers 2407.15388, arXiv.org, revised Oct 2024.

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