Article2006

The Importance of Year of Birth in Two-Dimensional Mortality Data

Stephen J. Richards · James Gavin Kirkby · I. D. Currie

78 citations0/0 files storedBritish Actuarial Journal

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Insurance, Mortality, Demography, Risk Management Insurance and Financial Risk Management Statistical Methods in Epidemiology

Abstract

ABSTRACT Late-life mortality patterns are of crucial interest to actuaries assessing longevity risk. One important explanatory variable is year of birth. We present the results of various analyses demonstrating this, including a statistical model which lends weight to the importance of year-of-birth effects in both population and insured data. We further find that a model based on age and year of birth fits United Kingdom mortality data better than a model based on age and period, suggesting that cohort effects are more significant than period effects. The financial implications of these cohort effects are considerable for portfolios with long-term longevity exposure, such as annuities written by insurance companies and defined benefit pension schemes.

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References

1987Factor Analysis and AIC 2004Inflammatory Exposure and Historical Changes in Human Life-Spans 2004Smoothing and forecasting mortality rates 1934DEATH-RATES IN GREAT BRITAIN AND SWEDEN SOME GENERAL REGULARITIES AND THEIR SIGNIFICANCE 2004The Cohort Effect: Insights and Explanations 2001Death-rates in Great Britain and Sweden. Some general regularities and their significance*

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