Working Paper 32: Proposed graduations of the CMI SAPS mortality experience based on data collected to 30 June 2007 CMI SAPS Mortality Committee

Agenda  Introduction Nigel Bodie  WP 32 Graduations Andrew Gaches  Future Investigations John Ellam  Discussion

Introduction Nigel Bodie

WP 32 Graduations Andrew Gaches

Background  Earlier working papers  Working Paper 31  Consultation to 29 February 2008

Data (1) – Deaths by Type

Data (2) – Deaths by Year

Proposed tables (and names) Data Type Light / Heavy LivesAmounts FemaleMaleFemaleMale Pensioners (excluding dependants) -SPFL03SPML03SPFA03SPMA03 LightSPFA03LightSPMA03Light HeavySPFA03HeavySPMA03Heavy Normal health pensioners -SNFA03SNMA03 LightSNFA03LightSNMA03Light HeavySNFA03HeavySNMA03Heavy Ill-health pensioners -SIFA03SIMA03 Dependants -SWL03SWA03 LightSWA03Light HeavySWA03Heavy

Methodology (1) - Overview  Graduation over central ages  μ x = GM(r,s) ie Gompertz-Makeham formula with polynomials of order r and s  Extension to high and low ages  Removal of anomalies  Conversion to q x

Methodology (2) – Extension to High Ages

Methodology (3) – Extension to Low Ages Data Type Graduation Range Graduation Range Used Extended Range Extension Method Pensioners (excluding dependants) Normal health pensioners Blend of AxC00, AxN00 and AxS00 to match μ 60 Ill-health pensioners (m) (f) (m) (f) Value of μ 41 (m) Value of μ 42 (f) Dependants GM(0,3) to match graduated μ 45 and μ’ 45 and AFN00 / AFS00 μ 20

Example graduation – SPML03

Comparison of Graduations - Males

Male All Pensioners Amounts

Female Normal Health Amounts

Widow Amounts

Male Pensioner Amounts – Low Age Issue

Male Ill-Health Amounts – Extensions

Male Pensioners – Light vs PCMA00 ...and “Top Band” (top 12.5% of pension amounts)

Female Pensioners – Light vs PCFA00 ...and “Top Band” (top 12.5% of pension amounts)

Widows – Light vs WA00 ...and “Top Band” (top 12.5% of pension amounts)

Period Expectations of Life - Males

Period Expectations of Life - Females

Period Expectations of Life - Widows

Future Investigations John Ellam

Work for 2008  Analysis of further data submissions  Evidence of patterns of improvements  Industrial classifications

1. Improvement patterns 2. Industrial analysis  Covers CY 2000 to 2006  But clustered in centre years, so longer-run trend analysis not necessarily reliable  Few schemes where data present for two valuations  So heterogeneity within exposed to risk  Data on CMI web-site (not industrial)  Includes measurement against 92 series Short Cohort for each calendar year of experience

SAPS Males amounts All retirements LH axis – A/E cf PMA92 Short Cohort for calendar year RH axis – Pensions p.a. cancelled by death

SAPS Males amounts Normal retirements LH axis – A/E cf PMA92 Short Cohort for calendar year RH axis – Pensions p.a. cancelled by death

Industrial analysis – number of deaths Ages 50+ Calendar years 2000 to 2006

Discussion

 Proposed Tables  Range of tables and names?  Light vs Top Band?  Extension to high and low ages?  Use of Tables  Which tables will be commonly used?  How will they be adjusted?  Future Work  Any comments?