Necessary Conditions for Internal Models with regard to Annuitant Mortality

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Tony Jeffery, Irlande
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Summary:
1.1 This paper considers what an approach to modelling mortality variation for purposes of Solvency 2 should cover.1.2 I examine the three main components of annuitant mortality namely1) Binomial variation of mortality within the portfolio 2) Annual fluctuation of the background population mortality3) Trend Variation where the rate of mortality improves at a varying rate for the whole population1.3 Throughout I refer to annuity payments from a life insurance company but identical considerations apply to pension funds paying pensions to retired members.1.4 Much of the material fro this paper is drawn from work presented to the Society of Actuaries in Ireland in October 2004, Jeffery & Olivier (1) (referred to as J&O). This work was prepared following enquiry from the Irish Pensions Board as to the impact of mortality variation on reserves. Due to the relatively small numbers of lives in Ireland, data used for the study was based on England & Wales population data.
 
Date: 1 June - Time: 14:15 to 15:45 - Room: 343
Theme: 1.A. Stochastic dependence