John M. Bragg, FSA
Geoffery Crofts, FSA
Faye Albert, FSA                          

Harold I. Cohen, FSA

   Bragg Associates Actuaries
   

      

 

Proposed Report re Slopes for Pricing Mortality Tables


Bragg Associates will produce a report addressing the following:

(1) Confirmation of the observed phenomenon.

(2) Analysis and explanation of the drivers behind this phenomenon (using
                 data to substitute demonstrations for impressions, where possible).

(3) Opinion as to whether an adjustment to the SOA 90-95 slope is
                   appropriate for purposes of developing a prospective pricing mortality table.

(4) If so, a recommendation of how to adjust the slope using the data and
                   knowledge available.

We will base our analysis on the following tables:

            SOA:   85-90 Basic and 90-95Basic

            Bragg: 91BLT, 97BLT, 2001BLT (unprojected), and 2002 BLT (projected).

We will also use our data runs by issue age and duration groups (known as white-green sheets) for 85-89; 90-94; and 95-99.
These data runs will be provided with the report.

We will do the work separately for NSM, SM, NSF, and SF blocks.

Although concentrating on durations 1-10, we will extend our analysis through duration 15 as a control,
since our data and tables allow us to do this.

 Using sample issue age and durations, we expect to analyze the slope phenomenon in the following ways:
 

1   q[x]+t / q[x] (ratio of q at duration t to q at duration 1 issue age)
2  q[x]+t / q[x+t]  (ratio of q at duration t to q at duration 1 attained age)
3 q[x]+t / qx+t (ratio of q at duration t to ultimate q at age - attained age)

Formula 1 will give gross slope; formulas 2 and 3 will be useful in analyzing the wearing-off of select status.

To the extent possible, this will be done from the tables and from the Bragg raw data, which will provide demonstrations.

Because numerous changes have occurred over the period studied, in cohort characteristics, underwriting, change in select period characteristics, etc., we expect that the analysis will lead to meaningful insight into drivers.

We expect the analysis to lead to appropriate opinions and recommendations along the lines of (3) and (4) of the report.


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David G. W. Bragg
Copyright 2004 John M. Bragg and Associates, Inc. All rights reserved.
Revised: 03/24/04.

 

 

 

 

David G. W. Bragg
Copyright 2006 John M. Bragg and Associates, Inc. All rights reserved.                                                   
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Revised: 06/15/10.