1. Working Paper 32: Proposed graduations of the CMI SAPS 2000-2006 mortality experience based on data collected to 30 June 2007 CMI SAPS Mortality Committee

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

3. Introduction Nigel Bodie

4. WP 32 Graduations Andrew Gaches

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

6. Data (1) – Deaths by Type

7. Data (2) – Deaths by Year

8. 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

9. 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

10. Methodology (2) – Extension to High Ages

11. Methodology (3) – Extension to Low Ages Data Type Graduation Range Graduation Range Used Extended Range Extension Method Pensioners (excluding dependants) 55-9550-95- Normal health pensioners 55-9560-9520-59 Blend of AxC00, AxN00 and AxS00 to match μ 60 Ill-health pensioners 35-95 41-95 (m) 42-95 (f) 20-40 (m) 20-41 (f) Value of μ 41 (m) Value of μ 42 (f) Dependants45-95 20-44 GM(0,3) to match graduated μ 45 and μ’ 45 and AFN00 / AFS00 μ 20

12. Example graduation – SPML03

13. Comparison of Graduations - Males

14. Male All Pensioners Amounts

15. Female Normal Health Amounts

16. Widow Amounts

17. Male Pensioner Amounts – Low Age Issue

18. Male Ill-Health Amounts – Extensions

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

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

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

22. Period Expectations of Life - Males

23. Period Expectations of Life - Females

24. Period Expectations of Life - Widows

25. Future Investigations John Ellam

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

27. 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

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

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

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

31. Discussion

32.  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?