Skip to main content
The Actuary: The magazine of the Institute and Faculty of Actuaries - return to the homepage Logo of The Actuary website
  • Search
  • Visit The Actuary Magazine on Facebook
  • Visit The Actuary Magazine on LinkedIn
  • Visit @TheActuaryMag on Twitter
Visit the website of the Institute and Faculty of Actuaries Logo of the Institute and Faculty of Actuaries

Main navigation

  • News
  • Features
    • General Features
    • Interviews
    • Students
    • Opinion
  • Topics
  • Knowledge
    • Business Skills
    • Careers
    • Events
    • Predictions by The Actuary
    • Whitepapers
    • Moody's - Climate Risk Insurers series
    • Webinars
    • Podcasts
  • Jobs
  • IFoA
    • CEO Comment
    • IFoA News
    • People & Social News
    • President Comment
  • Archive
Quick links:
  • Home
  • The Actuary Issues
  • February 2012
02

RMS completes Dutch longevity modelling exercise

Open-access content Monday 20th February 2012 — updated 5.13pm, Wednesday 29th April 2020

Risk Management Solutions has announced the completion of a mortality risk analysis of the Dutch population which uses ‘cause of improvement’ modelling for probabilistic longevity scenario generation.

2

The risk management solutions company said the approach was used to address problems previous longevity models for The Netherlands had faced with incorporating future developments in medical science into mortality improvement projections.

Its analysis, which incorporates estimates of lifestyle trend changes, medical advances and future healthcare environment specific to the Dutch population, is intended to help capital market investors quantify Dutch longevity risk.

Among the specific challenges the Dutch exercise posed for modelling future mortality improvement solutions are the high mortality improvement rates - up to 4% a year - recorded in The Netherlands over the past decade.

The country has higher smoking rates than other European countries, but slightly fewer deaths from cardiovascular disease, lower obesity levels and higher standards of healthcare. It also has a marked birth cohort effect around the birth year of 1936 - six years later than the similar effect in the UK.

With uncertainty over future life spans of retirees drawing pensions, funds, annuity providers and insurers are increasingly looking to protect themselves from potential funding shortfalls.

According to RMS, longevity risk transfer to the capital markets has proved difficult in the past due to uncertainties inherent in longevity risk. Its modelling is intended to underpin investor confidence in risk assessments.

The Netherlands has seen increasing demand for longevity protection as a result of the major revision of actuarial tables by the Dutch Actuarial Society in 2010 which was prompted by the mortality improvements seen earlier in the decade. This caused a significant increase in liabilities for many pension funds.

RMS believes its approach to longevity risk modelling is 'more transparent' than a statistical model.  Instead of extrapolating historical mortality rate volatility out into the future, its model begins with current mortality levels and trends and then explores scenarios for future trends in the different causes of mortality improvement. These incorporate likely timelines for medical developments in the lab or new drugs that are yet to be approved.

The company now has models in place for the UK, US, Canada, The Netherlands, France and Germany.

Andrew Coburn, senior vice president of LifeRisks at RMS, said: 'There are very interesting, different local market conditions for the variation in longevity risk from country to country.'

'Demographics, social structures, and lifestyle patterns are very different in each country, and the national health care systems result in some very different health outcomes for local populations. These need careful adaptation to model life expectancy projections in each territory.'

Peter Nakada, managing director RiskMarkets at the company, added: 'Longevity is one of the most difficult risks to take to market. There is clearly strong demand for longevity de-risking solutions, but there is such a wide spread of opinion and disparity of expectations around the appropriate pricing.

'We believe that RMS can help facilitate the growth of this market by providing an objective, verifiable benchmark assessment of the risk that has the respect of investors.'

This article appeared in our February 2012 issue of The Actuary.
Click here to view this issue
Filed in
02
Topics
Global

You might also like...

Share
  • Twitter
  • Facebook
  • Linked in
  • Mail
  • Print

Latest Jobs

Life Actuarial Trainee

England
Up to £55000.00 per annum
Reference
145815

Catastrophe Manager - Top Performing Syndicate

England, London
£70000 - £94000 per annum
Reference
145814

Senior Pricing Analyst

London, England
£40000 - £80000 per annum
Reference
145813
See all jobs »
 
 

Today's top reads

 
 

Sign up to our newsletter

News, jobs and updates

Sign up

Subscribe to The Actuary

Receive the print edition straight to your door

Subscribe
Spread-iPad-slantB-june.png

Topics

  • Data Science
  • Investment
  • Risk & ERM
  • Pensions
  • Environment
  • Soft skills
  • General Insurance
  • Regulation Standards
  • Health care
  • Technology
  • Reinsurance
  • Global
  • Life insurance
​
FOLLOW US
The Actuary on LinkedIn
@TheActuaryMag on Twitter
Facebook: The Actuary Magazine
CONTACT US
The Actuary
Tel: (+44) 020 7880 6200
​

IFoA

About IFoA
Become an actuary
IFoA Events
About membership

Information

Privacy Policy
Terms & Conditions
Cookie Policy
Think Green

Get in touch

Contact us
Advertise with us
Subscribe to The Actuary Magazine
Contribute

The Actuary Jobs

Actuarial job search
Pensions jobs
General insurance jobs
Solvency II jobs

© 2023 The Actuary. The Actuary is published on behalf of the Institute and Faculty of Actuaries by Redactive Publishing Limited. All rights reserved. Reproduction of any part is not allowed without written permission.

Redactive Media Group Ltd, 71-75 Shelton Street, London WC2H 9JQ