Johnny Li (Melbourne)

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Johnny Li

Actuarial Studies

A seminar by Johnny Li from the University of Melbourne

Title: The Heat Wave Model for Constructing Two-Dimensional Mortality Improvement Scales with Measures of Uncertainty

Abstract: Recently, the actuarial professions in Canada, the U.S. and the U.K. have adopted an innovative two-dimensional approach to projecting future mortality. In contrast to the conventional approach, the two-dimensional approach permits mortality improvement rates to vary not only with age but also with time. Despite being an important breakthrough, the newly proposed two-dimensional mortality improvement scales are subject to several significant limitations, most notably a heavy reliance on subjective judgments and a lack of measures of uncertainty. In this paper, we aim to develop a method for producing two-dimensional mortality improvement scales with more solid statistical justifications. To this end, we propose a `heat wave' model, in which 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 subjective judgment. Moreover, with likelihood-based inference methods, the uncertainty surrounding the best estimate of mortality improvement rates can be quantified.

Start date:

2.30pm Friday, 16 Aug 2019

End date:

4pm Friday, 16 Aug 2019

Venue:

Allan Barton Forum

Presenter(s):

Johnny Li

Updated:   22 July 2019 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team