Working Paper 32 Proposed graduations of the CMI

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

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 Pensioners (excluding dependants) Normal health pensioners Light / Heavy Light Heavy Ill-health pensioners - Dependants Light Heavy Lives Female Male SPFL 03 SPML 03 SWL 03 Amounts Female SPFA 03 Light SPFA 03 Heavy SNFA 03 Light SNFA 03 Heavy Male SPMA 03 Light SPMA 03 Heavy SNMA 03 Light SNMA 03 Heavy SIFA 03 SIMA 03 SWA 03 Light SWA 03 Heavy

Methodology (1) - Overview § Graduation over central ages § μx = 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 qx

Methodology (2) – Extension to High Ages

Methodology (3) – Extension to Low Ages Data Type Pensioners (excluding dependants) Normal health pensioners Ill-health pensioners Dependants Graduation Extended Range Used Range 55 -95 35 -95 45 -95 50 -95 Extension Method - Blend of Ax. C 00, Ax. N 00 and Ax. S 00 to match μ 60 41 -95 (m) 20 -40 (m) Value of μ 41 (m) 42 -95 (f) 20 -41 (f) Value of μ 42 (f) GM(0, 3) to match 45 -95 20 -44 graduated μ 45 and μ’ 45 and AFN 00 / AFS 00 μ 20 60 -95 20 -59

Example graduation – SPML 03

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 PCMA 00 §. . . and “Top Band” (top 12. 5% of pension amounts)

Female Pensioners – Light vs PCFA 00 §. . . and “Top Band” (top 12. 5% of pension amounts)

Widows – Light vs WA 00 §. . . 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 PMA 92 Short Cohort for calendar year RH axis – Pensions p. a. cancelled by death

SAPS Males amounts Normal retirements LH axis – A/E cf PMA 92 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

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?