scholarly journals Allowing for shocks in portfolio mortality models

2022 ◽  
Vol 27 ◽  
Author(s):  
Stephen J. Richards
Keyword(s):  
Information Criterion ◽  
Exposure Period ◽  
Mortality Data ◽  
Time Dimension ◽  
Mortality Trends ◽  
Mortality Models ◽  
Local Flexibility ◽  
The Uk ◽  
Actuarial Model

Abstract The COVID-19 pandemic creates a challenge for actuaries analysing experience data that include mortality shocks. Without sufficient local flexibility in the time dimension, any analysis based on the most recent data will be biased by the temporarily higher mortality. Also, depending on where the shocks sit in the exposure period, any attempt to identify mortality trends will be distorted. We present a methodology for analysing portfolio mortality data that offer local flexibility in the time dimension. The approach permits the identification of seasonal variation, mortality shocks and occurred-but-not reported deaths (OBNR). The methodology also allows actuaries to measure portfolio-specific mortality improvements. Finally, the method assists actuaries in determining a representative mortality level for long-term applications like reserving and pricing, even in the presence of mortality shocks. Results are given for a mature annuity portfolio in the UK, which suggest that the Bayesian information criterion is better for actuarial model selection in this application than Akaike’s information criterion.

scholarly journals A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting

2017 ◽  
Vol 11 (2) ◽  
pp. 343-389 ◽  
Author(s):  
Man Chung Fung ◽  
Gareth W. Peters ◽  
Pavel V. Shevchenko
Keyword(s):  
Monte Carlo ◽  
State Space ◽  
Stochastic Volatility ◽  
Model Complexity ◽  
Mortality Data ◽  
Period Effect ◽  
Male Mortality ◽  
Mortality Models ◽  
Volatility Model

AbstractThis paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee–Carter class of models in a general state-space modelling methodology, which allows modelling, estimation and forecasting of mortality under a unified framework. We propose alternative model identification constraints which are more suited to statistical inference in filtering and parameter estimation. We then develop a class of Bayesian state-space models which incorporate a priori beliefs about the mortality model characteristics as well as for more flexible and appropriate assumptions relating to heteroscedasticity that present in observed mortality data. To study long-term mortality dynamics, we introduce stochastic volatility to the period effect. The estimation of the resulting stochastic volatility model of mortality is performed using a recent class of Monte Carlo procedure known as the class of particle Markov chain Monte Carlo methods. We illustrate the framework using Danish male mortality data, and show that incorporating heteroscedasticity and stochastic volatility markedly improves model fit despite an increase of model complexity. Forecasting properties of the enhanced models are examined with long-term and short-term calibration periods on the reconstruction of life tables.

Mortality models incorporating long memory for life table estimation: a comprehensive analysis

2021 ◽  
pp. 1-38
Author(s):  
Hongxuan Yan ◽  
Gareth W. Peters ◽  
Jennifer Chan
Keyword(s):  
Time Series ◽  
Life Expectancy ◽  
Long Memory ◽  
Age Groups ◽  
Deviance Information Criterion ◽  
Information Criterion ◽  
Life Tables ◽  
Mortality Data ◽  
Model Parameters ◽  
Mortality Models

Abstract Mortality projection and forecasting of life expectancy are two important aspects of the study of demography and life insurance modelling. We demonstrate in this work the existence of long memory in mortality data. Furthermore, models incorporating long memory structure provide a new approach to enhance mortality forecasts in terms of accuracy and reliability, which can improve the understanding of mortality. Novel mortality models are developed by extending the Lee–Carter (LC) model for death counts to incorporate a long memory time series structure. To link our extensions to existing actuarial work, we detail the relationship between the classical models of death counts developed under a Generalised Linear Model (GLM) formulation and the extensions we propose that are developed under an extension to the GLM framework known in time series literature as the Generalised Linear Autoregressive Moving Average (GLARMA) regression models. Bayesian inference is applied to estimate the model parameters. The Deviance Information Criterion (DIC) is evaluated to select between different LC model extensions of our proposed models in terms of both in-sample fits and out-of-sample forecasts performance. Furthermore, we compare our new models against existing models structures proposed in the literature when applied to the analysis of death count data sets from 16 countries divided according to genders and age groups. Estimates of mortality rates are applied to calculate life expectancies when constructing life tables. By comparing different life expectancy estimates, results show the LC model without the long memory component may provide underestimates of life expectancy, while the long memory model structure extensions reduce this effect. In summary, it is valuable to investigate how the long memory feature in mortality influences life expectancies in the construction of life tables.

scholarly journals Mortality Forecasting with an Age-Coherent Sparse VAR Model

Risks ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 35
Author(s):  
Hong Li ◽  
Yanlin Shi
Keyword(s):  
Coefficient Matrix ◽  
Var Model ◽  
Mortality Data ◽  
Invariant Mean ◽  
Short Term ◽  
Efficient Manner ◽  
Mortality Models ◽  
Proposed Model ◽  
Mortality Improvement

This paper proposes an age-coherent sparse Vector Autoregression mortality model, which combines the appealing features of existing VAR-based mortality models, to forecast future mortality rates. In particular, the proposed model utilizes a data-driven method to determine the autoregressive coefficient matrix, and then employs a rotation algorithm in the projection phase to generate age-coherent mortality forecasts. In the estimation phase, the age-specific mortality improvement rates are fitted to a VAR model with dimension reduction algorithms such as the elastic net. In the projection phase, the projected mortality improvement rates are assumed to follow a short-term fluctuation component and a long-term force of decay, and will eventually converge to an age-invariant mean in expectation. The age-invariance of the long-term mean guarantees age-coherent mortality projections. The proposed model is generalized to multi-population context in a computationally efficient manner. Using single-age, uni-sex mortality data of the UK and France, we show that the proposed model is able to generate more reasonable long-term projections, as well as more accurate short-term out-of-sample forecasts than popular existing mortality models under various settings. Therefore, the proposed model is expected to be an appealing alternative to existing mortality models in insurance and demographic analyses.

Antiplatelet Therapy in Acute Coronary Syndromes

2010 ◽  
Vol 6 (1) ◽  
pp. 58
Author(s):  
Sasha Koul ◽  
David Erlinge ◽  
◽  
Keyword(s):  
Platelet Function ◽  
Acute Coronary Syndromes ◽  
New Drugs ◽  
Antiplatelet Drugs ◽  
Bleeding Complications ◽  
Great Promise ◽  
Mortality Data ◽  
Poor Responders ◽  
Coronary Syndromes

Drugs inhibiting platelet function play a major role in the treatment of acute coronary syndromes (ACS). The first drug used, which is still considered the cornerstone of therapy today, is aspirin. Although very impressive in acutely decreasing rates of myocardial infarction as well as death, long-term data are scarce, despite our current recommendation for lifelong aspirin. The thienopyridines, most notably clopidogrel, are the next line of antiplatelet drugs. Well-documented data support the usage of clopidogrel for non-STEMI-ACS (NSTE-ACS). Although positive mortality data exist regarding clopidogrel and STEMI patients in a medically treated population, including thrombolysis, no larger amounts of randomised data exist in a primary PCI setting. Poor responders to aspirin and/or clopidogrel are a clinical problem, with these individuals constituting a higherrisk group for recurrent ischaemic events. Whereas very little can be done regarding aspirin resistance, clopidogrel resistance might be diminished by increasing the dosage or changing to more potent and newer-generation antiplatelet drugs. The role of glycoprotein IIb/IIIa inhibitors has diminished drastically and instead paved the way for thrombin antagonists (bivalirudin), which have fewer bleeding complications with resulting better long-term mortality. Novel adenosine diphosphate (ADP)-receptor blockers such as prasugrel and ticagrelor have shown increased efficacy over clopidogrel and hold great promise for the future. However, not all patients may benefit from these new drugs and economic constraints may also limit their use. Platelet function tests could possibly help in identifying risk groups in need of stronger platelet inhibition.

Using the Change4Life Disney Branded 10-minute Shake Ups During the COVID-19 ‘Lockdown’

2020 ◽  
Author(s):  
Emily Budzynski-Seymour ◽  
James Steele ◽  
Michelle Jones
Keyword(s):  
Perceived Exertion ◽  
Affective Responses ◽  
Online Resources ◽  
Future Research ◽  
Affective States ◽  
Perceived Effort ◽  
Qualitative Feedback ◽  
Bidirectional Relationship ◽  
The Uk

Physical activity (PA) is considered essential to overall health yet it is consistently reported that children are failing to meet the recommended levels. Due to the bidirectional relationship between affective states and PA, affective responses are a potential predictor to long term engagement. Since late March 2020 the UK government enforced ‘lockdown’ measures to help control the spread of Coronavirus (COVID-19); however, this has impacted children’s PA. Using online resources at home to support PA is now common. The primary aim of this research was to investigate the use of the Change4Life 10-minute Shake Ups to support PA by examining the effects of Disney branding upon children’s (n=32) post activity affective responses and perceived exertion. The secondary was to investigate the effect of the lockdown on PA habits. Children had similar positive affective responses and perceived effort to activities; however, branding was considered to be a key contributing factor based upon qualitative feedback from parents. Children’s PA levels dropped slightly since ‘lockdown’ was imposed; though online resources have been utilised to support PA. The use of immersive elements such as characters and narrative in PA sessions, as well as utilising online resources during ‘lockdown’ appear potentially promising for future research.

GA: Armani’s Giorgio Armani

2018 ◽  
Author(s):  
Paul Brooker ◽  
Margaret Hayward
Keyword(s):  
Final Section ◽  
The Body ◽  
Body Shop ◽  
The Third ◽  
Haute Couture ◽  
Fashion Designer ◽  
The Body Shop ◽  
The Uk ◽  
Career Woman

The Armani high-fashion example illustrates the importance of adaptive rational methods in his founding and developing of an iconic high-fashion firm. Armani adapted stylistically to fashion’s new times in the 1970–80s by creating a new style catering for the career woman. His stylistic adaptation is compared with that of another famous Italian fashion designer, Versace, who instead modernized haute couture fashion and created a succession of glamourous styles. Both leaders exploited the same opportunity but in different ways. The third section compares these leaders’ legacies in the 1990s–2000s and assesses from a long-term perspective how capably they had used adaptive rational methods. The final section shifts the focus from fashion to the cosmetics industry and from Italy to the UK. Anita Roddick used adaptive rational methods to establish The Body Shop corporation in the 1970s–80s. However, she then abandoned rational methods with dire results for her corporation in the 1990s.

scholarly journals Knowledge and attitudes towards concussion in UK-based male ice hockey players: A need for attitude change?

2019 ◽  
Vol 14 (2) ◽  
pp. 153-161 ◽  
Author(s):  
Sarah Hutchinson ◽  
Paul Ellison ◽  
Andrew Levy ◽  
David Marchant
Keyword(s):  
Attitude Change ◽  
Ice Hockey ◽  
Knowledge And Attitudes ◽  
Accurate Knowledge ◽  
Hockey Players ◽  
Sport Concussion ◽  
Concussion History ◽  
Concussion Knowledge ◽  
The Uk

Objective Concussion is a common injury in ice hockey, and previous research suggests some misconceptions and unsafe attitudes amongst players. The purpose of this study was to assess sport concussion knowledge, attitudes and the effect of sport concussion history in UK-based male ice hockey players across three levels of competition: professional, semi-professional and amateur. Methods Sixty-one participants across a number of UK ice hockey teams completed the Rosenbaum Concussion Knowledge and Attitudes Survey and reviewed a series of statements to assess knowledge (concussion knowledge index), attitudes (concussion attitude index) and misconceptions of concussion. Results Level of competition and concussion history had no significant effect on concussion knowledge index or concussion attitude index. A positive significant relationship exists between playing experience and concussion knowledge index and concussion attitude index. Statements identified common misconceptions and areas of accurate knowledge regarding concussion symptoms suggesting that male ice hockey players have a higher level knowledge compared to a sample of the UK general public. Playing experience was associated with increased knowledge and increasingly safe attitudes towards concussion. Conclusion Despite knowledge relating to loss of consciousness and correct management of symptoms being generally accurate, there are worryingly unsafe attitudes regarding aspects of concussion. Such attitudes may well pose significant threats to players’ safety and long-term health.

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