Issuu on Google+

Update on Development of New Mortality  Tables Society of Actuaries & American Academy of Actuaries Joint  Project Oversight Group Mary Bahna‐Nolan, FSA, CERA, MAAA Chair, Academy Life Experience Subcommittee October 16, 2010

Copyright©©2007 2010by bythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 1

1


Payout Annuity Mortality Table

Copyright Copyright ©2008 2010 byby the the American American Academy Academy Actuaries Actuaries Copyright ©©2007 by the American Academy ofofof Actuaries SOA NAIC Life Life Spring and Health Meeting: Actuarial Session Task 58 Force Preferred Meeting Mortality The Year in Review, November 2007 June October 17, 2008 2010 2

2


Progress To‐Date • Analyzed 2000‐2004 payout annuity mortality  experience • Created a preliminary table, with confidence intervals  at each age, through application of P‐Splines for ages  50‐94 • Graduated qxs from the data for males and females  with confidence intervals  – Method used provided a 95% confidence interval of  graduation – Result with qxs generally ranging between 99‐101% of the  best estimate for key ages, 65‐95 – Does not have a good fit at younger and older ages Copyright©©2007 2010by bythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 3

3


Progress To‐Date cont’d • Analyzed mortality at younger and older ages – Mortality rates at these ages have little impact on the  final reserve – Compared results to several existing industry tables,  including:  1994 GAM projected with Scale AA to  2002, 2008 VBT RR100, Annuity 2000, 2006 U.S. Life  Tables – 1994 GAM and A2000 table reasonably close at ages 20 and  35, significant divergence at 50 – 1994 GAM lower than population, Annuity 2000 rates  significantly lower than population and more recent life  experience table at highest ages for male risks Copyright©©2007 2010by bythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 4

4


Progress To‐Date cont’d • Younger ages – For ages 1‐50, used 1994 GAM projected with  Scale AA to 2002 – For age 0, use 4 times age 1 rate

• Ages 51 through 64, grade to experience table

Copyright©©2007 2010by bythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 5

5


Proposed mortality rates per 1,000 Male risks, ages 0‐65 18.0 17.5 17.0 16.5 16.0 15.5 15.0 14.5 14.0 13.5 13.0 12.5 12.0 11.5 0 11.0 0 10.5 0 , 10.0 9.5  1 r 9.0 e 8.5 p  x 8.0 7.5 Q 7.0 6.5 6.0 5.5 5.0 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0

Annuity 2000 1994 GAM Project to 2002 2006 SSA 2008 VBT Primary 2012 Proposed Base

Attained Age Copyright©©2007 2010by bythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 6

6


Relationship of proposed mortality to existing Male risks, ages 0‐65 225.0% 200.0%

g 175.0% n it si xE  f 150.0% o   %  s 125.0% a  e ta r  100.0% x Q   d 75.0% e s o p o r 50.0% P

Annuity 2000 2006 SSA 2008 VBT Primary

25.0% 0.0%

Attained Age Copyright©©2007 2010by bythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 7

7


Proposed mortality rates per 1,000 Female risks, ages 0‐65 12.0 11.5 11.0 10.5 10.0 9.5 9.0 8.5 8.0 0 7.5 0 7.0 0 , 6.5  1 r 6.0 e 5.5 p  x 5.0 Q 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0

Annuity 2000 1994 GAM Project to 2002 2006 SSA 2008 VBT Primary 2012 Proposed Base

Attained Age Copyright©©2007 2010by bythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 8

8


Relationship of proposed mortality to existing Female risks, ages 0‐65 200.0% 190.0% 180.0% 170.0% g 160.0% n it 150.0% si xE 140.0%  f 130.0% o   120.0% %  s  a 110.0% e ta 100.0%  rx 90.0% 80.0% Q   d 70.0% e s 60.0% o p 50.0% o r P 40.0% 30.0% 20.0% 10.0% 0.0%

Annuity 2000 2006 SSA 2008 VBT Primary

Attained Age

Copyright©©2007 2010by bythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 9

9


Progress To‐Date cont’d • Older ages – For ages 96+, use Kinnisto extension – Cap mortality at 0.400 per 1,000 • Cap comes in at 105 for males, 107 for females

– No cap for life or population mortality – Still results in mortality rates in excess of annuity  2000 • For males:  ages 87+ • for females, ages 59‐72, 96+

– For valuation table, grade to 1.000 at 120 Copyright©©2007 2010bybythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 10

10


Proposed mortality rates per 1,000 Male risks, ages 65‐120 1000 950 900 850 800 750 700 650 0 600 0 ,0 550 1  r 500 e p  x 450 Q 400 350 300 250 200 150 100 50 0

Annuity 2000 2006 SSA 2008 VBT Primary 2012 Proposed Base Proposed extension to 1000 at 120

Attained Age Copyright©©2007 2010bybythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 11

11


Relationship of proposed mortality to existing Male risks, ages 65‐108 140.0% 130.0% 120.0% 110.0% 100.0% 90.0%

0 0 80.0% ,0 1  r 70.0% e p  x 60.0% Q

Annuity 2000 2006 SSA

50.0%

2008 VBT Primary

40.0% 30.0% 20.0% 10.0% 0.0%

Attained Age Copyright©©2007 2010bybythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 12

12


Proposed mortality rates per 1,000 Female risks, ages 65‐120 1000 950 900 850 800 750 700 650 0 600 0 ,0 550  1 r 500 e 450  p x 400 Q 350 300 250 200 150 100 50 0

Annuity 2000 2006 SSA 2008 VBT Primary 2012 Proposed Base Proposed extension to 1000 at 120

Attained Age

Copyright©©2007 2010bybythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 13

13


Relationship of proposed mortality to existing Male risks, ages 65‐108 140.0% 130.0% 120.0% 110.0% 100.0% 90.0%

0 0 80.0% ,0 1  r 70.0% e p  x 60.0% Q

Annuity 2000 2006 SSA

50.0%

2008 VBT Primary

40.0% 30.0% 20.0% 10.0% 0.0%

Attained Age Copyright©©2007 2010bybythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 14

14


Improvement and Future Projection • Analyzed various sources of mortality improvement – – – – – –

Historical versus future projection Social Security Administration 2010 Trustee’s Report (preliminary) Canadian Institute of Actuaries September 2010 Report Human Mortality Data Base CDC Towers Watson research on mortality improvement • Expected first look by end of October

• Improvement and disimprovement from year to year – 2004 and 2006 showed high improvement for most ages whereas  2003 showed disimprovement

• SSA actual reported through 2006 Copyright©©2007 2010bybythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 15

15


Improvement and Future Projection Comparison of Various Improvement Rates - Males Male Age 25 30 35 40 45 50 55 60 65 70 75 80 85 90 95

Social Security Improvement Rates - 2010 Trustees Report Actual Actual Actual Forecast Avg SSA 2002-2006 1990‐2000 2000‐2006 1990‐2006 2010‐2030

2.9% 4.2% 3.8% 1.8% 0.6% 1.3% 1.9% 2.2% 1.9% 1.5% 1.4% 1.1% 0.2% ‐0.4% ‐0.8%

‐2.0% ‐1.3% 0.8% 1.3% 1.1% ‐0.6% 0.5% 1.5% 2.4% 3.0% 2.6% 2.3% 2.2% 1.4% 0.4%

1.0% 2.1% 2.7% 1.6% 0.8% 0.6% 1.4% 1.9% 2.1% 2.0% 1.9% 1.5% 1.0% 0.3% ‐0.3%

0.9% 1.1% 1.1% 1.0% 0.9% 1.0% 1.2% 1.5% 1.2% 1.1% 1.0% 1.1% 0.7% 0.5% 0.4%

Scale

AA

CIA Scale G Proposal

‐2.0% ‐1.1% 1.4% 2.0% 1.6% -0.1% 0.5% 1.7% 2.6% 3.2% 2.9% 2.5% 2.6% 2.0% 1.1%

1.8% 1.6% 1.6% 1.4% 1.5% 1.0% 1.0% 0.7% 0.4% 0.3%

1.8%

1.5%

1.6%

1.2%

1.5%

1.0%

1.5%

1.0%

1.4%

1.0%

1.2%

1.0%

1.2%

1.0%

1.2%

1.0%

1.1%

1.0%

1.1%

0.5%

Copyright©©2007 2010bybythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 16

16


Improvement and Future Projection Comparison of Various Improvement Rates - Females Female

Age 25 30 35 40 45 50 55 60 65 70 75 80 85 90 95

Social Security Improvement Rates - 2010 Trustees Report Actual Actual Actual Forecast Avg SSA 2002-2006 1990‐2000 2000‐2006 1990‐2006 2010‐2030

1.6% 1.8% 0.6% ‐0.6% 0.1% 1.2% 1.2% 1.1% 0.5% 0.3% 0.2% ‐0.1% ‐0.4% ‐0.7% ‐0.9%

‐1.5% ‐0.4% 0.7% 0.4% ‐0.6% ‐0.6% 1.2% 1.7% 2.4% 1.9% 1.6% 1.6% 1.4% 1.0% 0.7%

0.5% 1.0% 0.7% ‐0.2% ‐0.1% 0.5% 1.2% 1.3% 1.2% 0.9% 0.7% 0.6% 0.3% ‐0.1% ‐0.3%

0.8% 0.9% 0.8% 0.7% 0.8% 1.0% 1.2% 1.3% 1.0% 0.8% 0.8% 0.9% 0.5% 0.4% 0.4%

Scale

50%

AA

Scale G

CIA Proposal

‐1.8% ‐0.5% 1.4% 1.4% 0.4% -0.4% 1.3% 1.7% 2.5% 2.2% 2.0% 2.1% 1.9% 1.5% 1.1%

1.7% 0.8% 0.5% 0.5% 0.5% 0.8% 0.7% 0.6% 0.3% 0.2%

1.0%

1.5%

0.9%

1.2%

0.9%

1.0%

0.9%

1.0%

0.9%

1.0%

0.8%

1.0%

0.8%

1.0%

0.8%

1.0%

0.7%

1.0%

0.6%

0.5%

Copyright©©2007 2010bybythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 17

17


Improvement and Future Projection

Copyright©©2007 2010bybythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 18

18


Next Steps • Finalize review and recommendation for improvement and  projection scales • Recommend margin – Likely split by pension amount

• Final proposed table with margin beginning of December – LHATF conference call?

• Review preliminary results from more recent (2005‐2008)  data call – More contributors, especially large annuity writers – Expected early 2011

Copyright©©2007 2010bybythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 19

19


Guaranteed Issue/Simplified  Issue Mortality Update

Copyright Copyright ©2008 2010 bythe the American American Academy Academy ofActuaries Actuaries Copyright ©©2007 bybythe American Academy ofofActuaries SOA NAIC Life Life Spring and Health Meeting: Actuarial Session Task 58 Force Preferred Meeting Mortality The Year in Review, November 2007 20 June October 17, 2008 2010 20


Status for Industry Studies • Two data calls – Pre‐need – All Other distribution

• MIB appointed as statistical agent • Working with MIB to develop data call – Challenge to simplify yet ensure comprehensive – Working with VM‐51 format

Copyright©©2007 2010bybythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 21

21


Status for Industry Studies • Timing (optimistic) – December: – End of March: – End of June: – Early 2012:

Data call Data submissions due Data cleansing/validation First draft of tables(2)

Copyright©©2007 2010bybythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 22

22


2012(?) VBT/CSO

Copyright Copyright ©2008 2010 bythe the American American Academy Academy ofActuaries Actuaries Copyright ©©2007 bybythe American Academy ofofActuaries SOA NAIC Life Life Spring and Health Meeting: Actuarial Session Task 58 Force Preferred Meeting Mortality The Year in Review, November 2007 23 June October 17, 2008 2010 23


Current Status • Recently received comprehensive data analysis for  2002‐2007 experience • Working with MIB/SOA to obtain more granular level  to data, especially at: – Attained ages – Older ages – Ultimate durations

• Members of ACLI on team to address any industry  considerations relative to CSO table structure • Proposed timetable and status at next LHATF meeting Copyright©©2007 2010bybythe theAmerican AmericanAcademy AcademyofofActuaries Actuaries Copyright NAIC Life and Health Actuarial Task Force Meeting The Year in Review, November 2007 October 2010 24

24


Payout_Annuity_LHATF_October_2010_final