Do actuaries believe in longevity deceleration? Edouard Debonneuil(*), Frédéric Planchet, Stéphane Loisel ISFA, Longevity 11, 2015 (*) [email protected] Do actuaries believe in longevity 1 deceleration? Longevity 11, ISFA 2015 Do actuaries believe in longevity deceleration? • Part I. Extrapolation of the past • Part II. Taking a prudent view Do actuaries believe in longevity deceleration? Longevity 11, ISFA 2015 2 Modeling a neutral view EXAMPLE OF BELIEF In the absence of belief of whether Youth pill life expectancy increase faster in the future (e.g. biomedical discoveries) or not (e.g. pollution) Virus would you, for a central longevity scenario, rather consider same/lower/higher mortality improvements than in the past? mortality improvements Do actuaries believe in longevity deceleration? Longevity 11, ISFA 2015 3 Historical evolutions of life expectancy • « +1 quarter per year » • Piecewise lines +23% Louis Pasteur Jacques Vallin and France Meslé (2010) : Espérance de vie: peut-on Jim Oeppen and James Vaupel (2002) : gagner trois mois par an indéfiniment ? Population & Sociétés 473 Broken Limits to Life Expectancy. Science 296 In a central scenario, and in the absence of country-specific context, should life expectancy rather increase by +{20-25}% year per year? less? more? Do actuaries believe in longevity deceleration? Longevity 11, ISFA 2015 4 Lee Carter uses the same mortality improvements for the future as in the past; does it lead to +23% per year? • Extract from the original paper: • “While many methods assume an upper limit to the human life span (…) our method allows (…) the deceleration of life expectancy (…) without any special additional assumptions.” Lee Ronald and Lawrence Carter (1992) : Journal of the American Statistical Association. 87 Hmm… What about the models we use internally?... And the risk scenarios… Do actuaries believe in longevity deceleration? Longevity 11, ISFA 2015 5 Indeed, Using the same mortality improvements for the future than in the past leads to life expectancy deceleration when improvements decrease by age Most important ages EXPLANATION Annual ILLUSTRATION for life expectancy today Most people do The Lee Carter model has to Mortality not die until age in a few decades be used strangely to obtain improvements 60, then 70, 100, linear life expectancies etc. 100? No more improvements, flat life expectancy CONCERNS VARIOUS MODELS kappa extrapolation Resulting life expectancy Do actuaries believe in longevity deceleration? Longevity 11, ISFA 2015 6 Model for a comparison: a simple logistic regression extrapolates life expectancy linearly Shown in Bongaarts J. « Long-Range Trends in Adult Mortality: Models and Projections Methods » (2004) : Population Council, WP192 Application: Same pace as in the past : +20% per year: ‘Best Practice trend’ : ‘A’ is adjusted to last years of data, similarly to the level of kappas kappa of Lee Carter life expectancy Best Practice Trend Lee Carter Do actuaries believe in longevity deceleration? Longevity 11, ISFA 2015 7 Lee Carter, Best Practice Trend, and… commonly used actuarial tables worldwide. Do actuaries believe in longevity deceleration? Do actuaries believe in longevity deceleration? Longevity 11, ISFA 2015 8 Lee Carter, Best Practice Trend, and… commonly used actuarial tables worldwide. Do actuaries believe in longevity deceleration? Do actuaries believe in longevity deceleration? Longevity 11, ISFA 2015 9 Do actuaries believe in longevity deceleration? • Part I. Extrapolation of the past • Part II. Taking a prudent view Do actuaries believe in longevity deceleration? Longevity 11, ISFA 2015 10