On contemporary mortality models for actuarial use
Stephen Richards’ and Angus Macdonald’s paper ‘On Contemporary Mortality Models for Actuarial Use’ (due to be discussed at the Institute of Actuaries on 24 October 2024) makes the case for the following in mortality experience analysis1:
-
Use individual data if at all possible.
-
Work in continuous time and use instantaneous mortality rates, i.e. μ rather than q.
-
Consider mortality experience data as comprising a series of Bernoulli trials over infinitesimally small time periods.
The paper could be read as a polemic against actuaries who can’t help but think in terms of q and whose first instinct is to group all time and age-dependent data on annual grids. Which is fine by me – I agree with the thrust of the paper and, in particular, the above three points.
So, having welcomed the paper, I do have a few observations…