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Speaker(s): Heloise Labit Hardy (ARC Centre of Excellence in Population Aging Research)
The exposure of a life insurance company to mortality and longevity risks depends on the profile of its insured portfolio. This is well known that the mortality of an insurance portfolio differs from the mortality of a global population and depends strongly on its composition. Indeed, age, gender and socio-economic category are risk factors for mortality, and thus for mortality by cause of death. For this paper, we are interested in studying the cause-specific mortality for an insurance portfolio. As causes of death are not equally represented among different sub-populations, we are trying to assess impacts of cause-specific mortality changes on the dynamics of a heterogeneous insurance portfolio. For that purpose, we study the portfolio dynamics including arrivals of new individuals with their own characteristics and seniority. We also study scenarios of cause-specific mortality changes following different degree of medical selection. We apply this model to a case study with English data on cause-of-death mortality by age, gender and socio-economic category. We show that impacts of cause-of-death mortality changes are related to the portfolio composition and its management. Our modelling framework is general and flexible, we present our analysis into an interactive web application.