A Hermite-spline model of post-retirement mortality

Stephen J. Richards

Scandinavian Actuarial Journal, 2020, vol. 2020, issue 2, 110-127

Abstract: We present a model for post-retirement mortality where differentials automatically reduce with increasing age, but without the fitted mortality rates for subgroups crossing over. Selection effects are catered for, as are age-modulated time trends and seasonal variation in mortality. Central to the model are Hermite splines, which permit parsimonious modelling of complex risk factors in even modest-sized portfolios. The model is therefore suitable for the stand-alone analysis of experience data for reinsurance, bulk annuities and longevity swaps. We also illustrate the contrast between the statistical significance of a risk factor and its financial significance and discuss reasons why one might include risk factors like season that are not directly financially significant.

Date: 2020
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DOI: 10.1080/03461238.2019.1642239

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