On contemporary mortality models for actuarial use I: practice

Stephen J. Richards; Angus Smith Macdonald

doi:10.1017/S1357321725000121

On contemporary mortality models for actuarial use I: practice

Stephen J. Richards, Angus Smith Macdonald

Research output: Contribution to journal › Article › peer-review

Abstract

Actuaries must model mortality to understand, manage and price risk. Continuous-time methods offer considerable practical benefits to actuaries analysing portfolio mortality experience. This paper discusses six categories of advantage: (i) reflecting the reality of data produced by everyday business practices, (ii) modelling rapid changes in risk, (iii) modelling time- and duration-varying risk, (iv) competing risks, (v) data-quality checking and (vi) management information. Specific examples are given where continuous-time models are more useful in practice than discrete-time models.

Original language	English
Article number	e18
Journal	British Actuarial Journal
Volume	30
DOIs	https://doi.org/10.1017/S1357321725000121
Publication status	Published - 23 Jun 2025

Keywords

late-reported deaths
mortality shocks
selection effects
survival models

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10.1017/S1357321725000121Licence: CC BY

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© The Author(s), 2025. Published by Cambridge University Press on behalf of The Institute and Faculty of Actuaries. This is an Open Access article, distributed under the terms of the Creative Commons Attribution licence (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted re-use, distribution, and reproduction in any medium, provided the original work is properly cited.
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Cite this

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AB - Actuaries must model mortality to understand, manage and price risk. Continuous-time methods offer considerable practical benefits to actuaries analysing portfolio mortality experience. This paper discusses six categories of advantage: (i) reflecting the reality of data produced by everyday business practices, (ii) modelling rapid changes in risk, (iii) modelling time- and duration-varying risk, (iv) competing risks, (v) data-quality checking and (vi) management information. Specific examples are given where continuous-time models are more useful in practice than discrete-time models.

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On contemporary mortality models for actuarial use I: practice

Abstract

Keywords

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