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A General Framework for Analysing the Mortality Experience of a Large Portfolio of Lives: With an Application to the UK Universities Superannuation Scheme

Cairns, A. J. G., Blake, D. ORCID: 0000-0002-2453-2090, Dowd, K. , Coughlan, G. D., Jones, O. & Rowney, J. (2022). A General Framework for Analysing the Mortality Experience of a Large Portfolio of Lives: With an Application to the UK Universities Superannuation Scheme. European Actuarial Journal, doi: 10.1007/s13385-022-00309-1

Abstract

We propose a general framework that can be used to analyse the mortality experience of a large portfolio of lives. The objective of the framework is to provide a firm evidence base to support the setting of future mortality assumptions for the portfolio as a whole or subgroup-by-subgroup.

The framework is developed in tandem with an analysis of the mortality of pensioners in the Universities Superannuation Scheme (USS), the largest funded pension scheme in the UK and one with a highly educated and very homogeneous membership. The USS experience was compared with English mortality subdivided into deprivation
deciles using the Index of Multiple Deprivation (IMD).

USS was found to have significantly lower mortality rates than even IMD-10 (the least deprived of the English deciles), but with similar mortality improvement rates to that decile over the period 2005-2016. Higher pensions were found to predict lower mortality, but only weakly so, and only for persons who retired on the first day of a month (mostly from active service).

We found that other potential covariates derived from an individual’s post/zip code (geographical region and the IMD associated with their local area) typically had no explanatory power. This lack of dependence is an important conclusion of the USS-specific analysis and contrasts with others that consider the mortality of more heterogeneous scheme memberships.

Publication Type: Article
Additional Information: This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.
Publisher Keywords: Longevity Risk, Pensioners’ Mortality, Index of Multiple Deprivation, Age Standardised Mortality Rate, Occupation, Graphical Diagnostics
Subjects: G Geography. Anthropology. Recreation > GF Human ecology. Anthropogeography
H Social Sciences > HD Industries. Land use. Labor
H Social Sciences > HF Commerce
L Education > LB Theory and practice of education > LB2300 Higher Education
Departments: Bayes Business School > Finance
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