TheCairns-Blake-DowdModel课件.pptVIP

TheCairns-Blake-DowdModel Andrew Cairns Maxwell Institute Heriot-Watt University David Blake Pensions Institute Cass Business School Kevin Dowd Nottingham University Business School April 2008 Plan for Talk Introductory remarks The Cairns-Blake-Dowd (CBD) model Pros and cons Assessment criteria Extension to include a cohort effect Backtesting Introduction – CBD Model Model designed for: Annuities and pensions – longevity risk Not for short-term mortality risk Model for mortality at higher ages CBD model: exploits relative simplicity of mortality curve at higher ages Not designed for lower ages Historical mortality rates (log scale) Introduction Pensions e.g. 30 year old Uncertainty in value of deferred annuity is mostly affected by post-60 mortality Model for mortality below age 60 is relatively unimportant E.g. Prob(Survival to age 60) = 0.96 with St.Dev. 0.005 Background Part of wider LifeMetrics research programme Comparison of 8 models Within sample fit Out of sample performance/backtesting Development of new models Focus here on specific models we have developed Introduction Why do we need stochastic mortality models? Data = future mortality is uncertain Good risk management Setting risk reserves Annuity contracts with embedded options E.g. guaranteed annuity options Pricing and hedging longevity-linked securities E.g. q-forwards Many models to choose from: Limited data = model and parameter risk Measures of mortality q(t,x) = underlying mortality rate: in year t at age x m(t,x) = underlying death rate Poisson model: Actual deaths: D(t,x) ~ independent Poisson(m(t,x)E(t,x)) E(t,x) = central exposed to risk Need good mortality forecasting model ‘Process-based’ models Model process of dying Not used much yet ‘Explanatory’ or ‘causal’ models Model causes of death e.g. heart disease or socio-economic factors Not used much yet, but post-code modelling more common ‘Extrapolative’ projection models Will only be reliable if the past trends conti