Research Project Showcase
SOA Research Project: Components of historical mortality improvement.
The purpose of the project is to compare and contrast methodologies for allocating historical gender-specific mortality improvement (or deterioration) experience in the U.S. into four components (age, period, cohort, and residual), drawing from the methodologies developed previously by the Continuous Mortality Investigation (CMI) of the Institute and Faculty of Actuaries (IFoA).
CIA Research Project: Constructing Two-Dimensional Mortality Improvement Scales for Canadian Pension Plans and Insurers: A Stochastic Modelling Approach
In this project, a ‘heat wave’ model is proposed for producing two-dimensional mortality improvement scales with solid statistical justifications. In the ‘heat wave’ model, short and long-term mortality improvements are treated respectively as ‘heat waves’ that taper off over time and ‘background improvements’ that always exist. Using the model, one can derive two-dimensional mortality improvement scales with minimal expert judgment. Moreover, with likelihood-based inference methods, the uncertainty surrounding the best estimate of mortality improvement rates can be quantified.
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