Actuarial Research Centre

Modelling, Measurement and Management of Longevity and Morbidity Risk

Research programme resources

Our project sponsors

• Institute and Faculty of Actuaries, Actuarial Research Centre
• Society of Actuaries
• Canadian Institute of Actuaries

The Longevity Index For England (LIFE)

• The research team at Heriot-Watt University have developed a bespoke mortality index for England and interactive App that highlights mortality inequalities up and down the country.
• Click here to find out more about the index and to access the App.

Latest outputs

• Andrew J.G. Cairns, Jie Wen and Torsten Kleinow (2023)
  Drivers of Mortality: Risk Factors and Inequality
  Journal of the Royal Statistical Society, Series A.
  • high resolution PDF
  • PDF (journal website; open access)
    
• Cairns, A.J.G. (2023)
  The Common Cohort Effect Model for Cause of Death Data.
  
  • Working paper (PDF)
• Cairns, A.J.G. and Redondo Loures, C. (2023)
  Higher-Age US Mortality By Education and Cause of Death: Trends, Inequality and Controllable Risk Factors.
  
  • 2023 Living to 100 Compendium
  • Living to 100 Symposium paper (PDF)
  • Slides (PDF), Living to 100 Symposium, January 2023.
  • Video (MP4).
• Cairns, A.J.G., Wen, J, and Kleinow, T. (2023)
  Estimating neighbourhood death rates using the random forest algorithm. Longevity Bulletin, 15: 22-29.
  • Full issue (PDF)
  • LIFE App, Version 3
• Cairns, A.J.G. and Redondo Loures, C.(2022)
  Cohort Effects in Cause-of-Death Mortality Data: The Link to Controllable Risk Factors
  Presentation at the International Congress of Actuaries, 28-31 May 2023, Sydney.
  • Slides (PDF)
    
• Wen, J., Cairns, A.J.G., and Kleinow, T. (2023)
  Modelling Socio-Economic Mortality at Neighbourhood Level
  ASTIN Bulletin, 53: 285-310. (Open access journal version)
  (Postprint)
• Cairns, A.J.G. (2022)
  Cohort Effects in US Cause-of-Death Mortality Data: The Link to Controllable Risk Factors.
  Presentation at the Human Mortality Database Conference, Paris, October 2022. Slides (PDF),
• Arık, A., Cairns, A., Dodd, E., Shao, A.,and Streftaris, G. (2022)
  Uneven outcomes: findings on cancer mortality
  The Actuary (Web page)
• Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G., Jones, O., and 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, (Journal open access PDF)

ARC Webinar, 25 October 2021

Mortality Inequality: What insights can we gain from analysis of cause-of-death mortality data?

• Youtube video
• PDF Slides.
  

ARC Webinar, 30 September 2021

Modelling cancer risk: Regional and socioeconomic disparities

• Youtube video
• PDF Slides.
  

ARC Webinar, 23 June 2021

Introducing the New Longevity Index For England (LIFE) App

• Youtube video
• PDF Slides

Modelling Neighbourhood Mortality Using the Random Forest Algorithm

• Webinar (MP4 file)
• Slides (PDF)

Project Participants

• Heriot-Watt University
• Longevitas
• Cass Business School (David Blake)
• University of Southampton (Erengul Dodd)
• Aarhus University (Malene Kallestrup-Lamb)
• University of California, Santa Barbara (Ian Duncan)
• Durham University (Kevin Dowd)
• University College Cork (Liang Chen)
• Amsterdam University (Michel Vellekoop)

Publications and preprints (most recent first)

• Cairns, A.J.G. (2023)
  The Common Cohort Effect Model for Cause of Death Data.
  
  • Working paper (PDF)
• Cairns, A.J.G. (2023)
  The Common Cohort Effect Model for Cause of Death Data.
  
  • Working paper (PDF)
• Cairns, A.J.G., Wen, J, and Kleinow, T. (2023)
  Estimating neighbourhood death rates using the random forest algorithm. Longevity Bulletin, 15: 22-29.
  • Full issue (PDF)
  • LIFE App, Version 3
• Cairns, A.J.G. and Redondo Loures, C.(2023)
  Higher-Age US Mortality By Education and Cause of Death: Trends, Inequality and Controllable Risk Factors.
  (PDF)To appear in Proceedings of the Living to 100 Symposium, 2023
• Arık, A., Cairns, A., Dodd, E., Shao, A.,and Streftaris, G. (2022)
  Uneven outcomes: findings on cancer mortality
  The Actuary (Web page)
• Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G., Jones, O., and 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, (Journal open access PDF)
• Arık, A., Dodd, E., Cairns, A., and Streftaris, G. (2021)
  Socioeconomic disparities in cancer incidence and mortality in England and the impact of age-at-diagnosis on cancer mortality.
  PLoS ONE, 16(7): e0253854. Journal website.
• Redondo Loures, C., and Cairns, A.J.G. (2021)
  Cause of Death Specific Cohort Effects in U.S. Mortality .
  Insurance: Mathematics and Economics, 99: 190-199. (PDF Postprint) (Journal website.).
• Schnurch, S., Kleinow, T., and Korn, R., (2021)
  Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model
  Risks 9: 45. (Journal website.)
• Blake, D., and Cairns, A.J.G. (2021)
  Longevity Risk and Capital Markets: The 2019-20 Update.
  Insurance: Mathematics and Economics, 99: 395-431. (PDF postprint) (Journal website)
• Glei, D., Barajas Paz, A., Aburto, J.M., and Barbieri, M., (2021)
  Mexican Mortality 1990-2016: Comparison of Adjusted and Unadjusted Estimates
  Demographic Research, 44: 719-758. (Journal PDF.)
• Wen, J., Cairns, A.J.G., and Kleinow, T., (2021)
  Fitting Multi-Population Mortality Models to Socio-Economic Groups
  Annals of Actuarial Science, 15: 144-172. (PDF postprint)
  
• Cairns, A.J.G. (2021)
  What insights can we gain from analysis of cause-of-death mortality data?
  Yorkshire Actuarial Society webinar. (slides)
  
• Hacariz, O., Kleinow, T., and Macdonald, A.S. (2021)
  Genetics, insurance and hypertrophic cardiomyopathy.
  Scandinavian Actuarial Journal, 2021, 54-81. (Journal website.) (PDF Postprint)
• Cairns, A.J.G., and El Boukfaoui, G. (2021)
  Basis Risk in Index Based Longevity Hedges: A Guide For Longevity Hedgers
  (PDF file: postprint) North American Actuarial Journal, 25:sup1, S97-S118.
  DOI: 10.1080/10920277.2019.1651658
• Arık, A., Dodd, E., Streftaris, G. (2020)
  Cancer morbidity trends and regional differences in England - A Bayesian analysis.
  PLoS One 15(5): e0232844. Full PDF available on the PLoS One website.
• Andrew J.G.Cairns, Torsten Kleinow and Jie Wen (2020)
  Drivers of Mortality - Risk Factors and Inequality
  Full paper, supplmentary plots and other resources.
• Dowd, K., Cairns, A.J.G., and Blake, D. (2020)
  CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family
  Annals of Actuarial Science 14: 445-460. (PDF postprint)
• Redondo Loures, C., and Cairns, A.J.G. (2019)
  Mortality In The US By Education Level.
  Annals of Actuarial Science, 14: 384-419. (PDF postprint) (Cambridge First View)
• Wen, J., Kleinow, T., and Cairns, A.J.G. (2020)
  Trends in Canadian Mortality By Pension Level: Evidence From the CPP and QPP. (PDF postprint)
  North American Actuarial Journal. 24: 533-561.
  Journal version. DOI: 10.1080/10920277.2019.1679190
  
• Wen, J., Kleinow, T., and Cairns, A.J.G. (2019)
  Trends in Canadian Mortality By Pension Level: Evidence From the CPP and QPP. Full report (2019) published by the Canadian Institute of Actuaries and the Institute and Faculty of Actuaries.
• Cairns, A.J.G., Kallestrup-Lamb, M., Rosenskjold, C.P.T., Blake, D., and Dowd, K., (2019)
  Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index.
  ASTIN Bulletin 49: 555-590. (Postprint PDF file)
  
• Kleinow, T., and Vellekoop, M.H. (2018)
  Minimum reversion in multivariate time series.
  Working paper: (Archiv)
• Blake, D., Cairns, A.J.G., Dowd, K., and Kessler, A.R. (2019)
  Still living with mortality: the longevity risk transfer market after one decade
  Presented at a Sessional Research Meeting of the Institute and Faculty of Actuaries, Edinburgh, 29 January, 2018.
  British Actuarial Journal, 24: e1; 1-80. (PDF file)
  
• Richards, Stephen J., Currie, Iain. D., Kleinow, Torsten, Ritchie, Gavin P. (2017)
  A stochastic implementation of the APCI model for mortality projections
  (PDF file) Presented at a Sessional Research Meeting of the Institute and Faculty of Actuaries, London, 16 October, 2017.
  British Actuarial Journal 24: e13; 1-26.
• Chen, L., Cairns, A.J.G., and Kleinow, T. (2017)
  Small Population Bias and Sampling Effects in Stochastic Mortality Modelling
  European Actuarial Journal 7: 193-230. (Postprint - PDF file)
• Mavros, G., Cairns, A.J.G., Streftaris, G., and Kleinow, T. (2017)
  Stochastic Mortality Modelling: Key Drivers and Dependent Residuals
  North American Actuarial Journal 21: 343-368.
  (Postprint: PDF file)
• Cairns. A.J.G. (2015) Mortality projections by using extrapolative models. Longevity Bulletin, 7: 18-21. (PDF)

ARC Workshop, 2 December 2019, London

Modelling Socio-Economic Differences in English Mortality

• Session 1 slides, What Types of Data Are Available for Mortality Data
  • Youtube video
• Session 2 slides, Mortality and Deprivation
  • Youtube video
• Session 3 slides, Factor-Based GLM Model with Socio-Economic Inputs
  • Youtube video
• Session 4 slides, Using Local Linear Regression to Model Socio-Economic and Geographical Effects
  • Youtube video
• Session 5 slides, Mortality Data By Socio-Economic Group, Region and Cause of Death: What Do the Patterns Tell Us?
  • Youtube video

Webinar - June/July 2019

• Big Data and Socio-Economic Mortality
  (Andrew Cairns) Webinar slides.

Webinar - 2 October 2018

• Modelling, Measurement and Management of Longevity and Morbidity Risk
  Webinar slides.

Webinar - 17 May 2017

• Modelling, Measurement and Management of Longevity and Morbidity Risk
  Webinar slides.
• Morning poll results.
  
• Afternoon poll results.
  
• Keyword word cloud: participants were asked to type in three keywords that they took away from the webinar.
  

Webinar Videos

• Webinar, University of New South Wales
  US Mortality: Underlying Trends By Socioeconomic Group and Cause of Death
  Video link

YouTube Videos

• Workshop 2 December 2019: Modelling Socio-Economic Differences in English Mortality
  • Session 1
  • Session 2
  • Session 3
  • Session 4
  • Session 5
• Webinar,18 July, 2019.
  Big Data and Socio-Economic Mortality
• Webinar,2 October, 2018.
  
• Sessional Research Meeting of the Institute and Faculty of Actuaries with discussion, Edinburgh, 29 January, 2018.
  
• Sessional Research Meeting of the Institute and Faculty of Actuaries with discussion, London, 16 October, 2017.
  
• Webinar,17 May, 2017.
  
• University of Southampton seminar, 8 December 2016.
  Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index
  Youtube video.

Presentations (most recent first)

• Future presentations:
• Cairns, A.J.G. and Redondo Loures, C.(2022)
  Cohort E ects in Cause-of-Death Mortality Data: The Link to Controllable Risk Factors
  Presentation at the International Congress of Actuaries, 28-31 May 2023, Sydney.
  • Slides (PDF)
    
• ARC Workshop, 2 December 2019, London
  Modelling Socio-Economic Differences in English Mortality
  Andrew Cairns, Jie Wen and Torsten Kleinow
  
  • Session 1.
  • Session 2.
  • Session 3.
  • Session 4.
  • Session 5.
• IFoA Life Conference 2019, Dublin
  Andrew Cairns and Alan Rae
  Index based longevity hedging as a practical risk mitigation tool for deferred pension liabilities (PDF file - Slides).
• IFoA Life Conference 2019, Dublin
  Andrew Cairns
  How Neighbourhood Characteristics Can Predict Your Longevity (PDF file - Slides).
• Society of Actuaries Annual Conference, Toronto
  Andrew Cairns
  Modeling, Measurement and Management of U.S. Mortality Risk: Underlying Trends By Socioeconomic Group and Cause of Death (PDF file - Slides).
• Fifteenth International Longevity Risk and Capital Markets Solutions Conference, Washington.
  • Andrew Cairns
    How Neighbourhood Characteristics can Predict Your Longevity. (PDF file - Slides).
  • Andrew Cairns
    Index Based Longevity Hedging as a Practical Risk Mitigation Tool for Deferred Pension Liabilities (PDF file - Slides).
  • Ayse Arik
    Trends and Differences in Cancer Morbidity and Mortality Risk in England (PDF file - Slides).
  • Cristian Redondo
    Cause of Death Specific Cohort Effects in US Mortality (PDF file - Slides).
• Actuarial Research Conference, Indianapolis
  • Andrew Cairns
    US Mortality: Underlying Trends By Socioeconomic Group and Cause of Death (PDF file - Slides).
    
• Actuarial Teachers' and Researchers' Conference, Liverpool
• IFoA Pensions Conference and Webinar
  • Andrew Cairns
    Big data and socio-economic mortality (PDF file - Slides).
    
• Liverpool University seminar
  • Torsten Kleinow
    Minimum Reversion in Multivariate Time Series - Application to Human Mortality Data (PDF file - Slides).
    
• Institute and Faculty of Actuaries, Life Conference, Liverpool
  • Andrew Cairns
    Cause of Death Mortality: International Trends by Socio-Economic Group. (PDF file - Slides).
    
  • Torsten Kleinow
    Mortality and Deprivation. (PDF file - Slides).
    
  • Andrew Cairns (joint session with Alan Rae)
    Index Based Longevity Hedging - The Dutch experience to date and challenges for the future. (PDF file - Slides).
    
• Knowledge Sharing Scotland meeting, Stirling
• Society of Actuaries Annual Meeting, Nashville
  • Andrew Cairns
    Cause of Death Mortality: International Trends by Socio-Economic Group. (PDF file - Slides).
    
• Webinar, 2 October 2018.
  • Torsten Kleinow and George Streftaris
    Modelling, Measurement and Management of Longevity and Morbidity Risk. (PDF file - Slides).
    
• Canada Pension Plan triennial seminar, Ottawa
  • Andrew Cairns
    Longevity Trends, Past and Future: A Deep Dive into CPP and QPP Mortality. (PDF file - Slides).
    
• Longevity 14 conference, Amsterdam
  
  • Andrew Cairns
    Cause of Death Mortality: International Trends by Socio-Economic Group. (PDF file - Slides).
    
  • Stephen Richards
    The many uses of VAR for Longevity Trend Risk. (PDF file - Slides).
    
  • Torsten Kleinow and Michel Vellekoop
    Minimum Reversion in Mortality Models for Multiple Populations.
  • Cristian Redondo Loures
    Educational attainment and cause of death mortality in the United States. (PDF file - Slides).
    
  • Jie Wen
    Quebec Pension Plan (QPP) multi-population data analysis. (PDF file - Slides).
    
  • Andres Barajas-Paz
    Age Heaping in Population Data of Emerging Countries. (PDF file - Slides).
    
• Ayse Arik
  European Actuarial Journal Congress, Leuven, 2018
  Modelling of Cancer Morbidity Risk in a Bayesian Framework (PDF file - Slides).
  
• Andrew Cairns
  Canadian Institute of Actuaries Annual Meeting, Toronto, June, 2018
  Trends in Mortality by Pension Level: Evidence from the CPP and QPP (PDF file - Slides).
  
• Andrew Cairns
  International Congress of Actuaries, Berlin, 2018
  How Big An Impact Does Socio-economic Status Have On Cause Of Death Rates? (PDF file - Slides).
  
• Andrew Cairns
  International Congress of Actuaries, Berlin, 2018
  Assessing the Economic Impact of Longevity Hedges (PDF file - Slides).
  
• George Streftaris and Erengul Dodd
  Protection, Health and Care Conference, Brighton, 2018
  Critical illness insurance rates: are they changing over time and how? (PDF file - Slides).
  
• Torsten Kleinow
  Seminar, University of Amsterdam, 2018
  Mortality and Deprivation (PDF file - Slides).
  
• Andrew Cairns
  LoLitA Closing Conference, Paris, January 2018.
  Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index (PDF file - Slides).
  
• David Blake, Andrew Cairns, Kevin Dowd and Amy Kessler
  Sessional research meeting. Edinburgh, 29 January 2018
• Andrew Cairns and Torsten Kleinow
  Workshop An Introduction to Stochastic Mortality Models. Edinburgh, 29 January 2018.
• Stephen Richards and Torsten Kleinow
  Presentation at the IFoA Life Conference, 23 November 2017.
  A Stochastic Implementation of the APCI Model for Mortality Projections.
• Andrew Cairns
  Presentation at the IFoA Life Conference, 23 November 2017.
  Longevity Risk Research (Draft)
  
• Andrew Cairns
  IAA Life Colloquium, Barcelona, October 2017.
  The Impact of Longevity Risk Hedging on Economic Capital.
  
• Andrew Cairns
  Society of Actuaries Annual Meeting, Boston, October 2017.
  Mortality Modelling
  
• Andrew Cairns
  13th Longevity and Capital Markets Conference, Taipei, September 2017.
  Socio-Economic Differences in Mortality by Cause of Death
  
• Andrew Cairns
  13th Longevity and Capital Markets Conference, Taipei, September 2017.
  A Flexible and Robust Approach to Modelling Single Population Mortality
  
• Torsten Kleinow
  Presentation at the ASTIN/AFIR-ERM Colloquium, Panama, August 2017.
  Parameter risk in time-series mortality forecasts
  
• Andrew Cairns
  Presentation at the ASTIN/AFIR-ERM Colloquium, Panama, August 2017.
  Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index
  
• Andrew Cairns
  ARC Webinar Series, 17 May 2017.
  Modelling, Measurement and Management of Longevity and Morbidity Risk
  
• Andrew Cairns
  Invited Speaker, IAA Mortality Seminar, Budapest
  International Developments in Actuarial Mortality Research
  
• Andrew Cairns
  Guest Speaker, IAA Mortality Working Group, Budapest
  IFoA International Research in Mortality
  
• Andrew Cairns
  Seminar, Southampton University
  Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index.
  Youtube: seminar video
• Liang Chen
  12th Longevity & Capital Mkts Conference
  Bayesian Inference for Small Population Longevity Risk Modelling
  Link to conference presentations
• Malene Kallestrup Lamb
  12th Longevity & Capital Mkts Conference
  Explaining the Female Longevity Puzzle: Using Register Data to Analyse Mortality Behaviour of Socio-economic Groups and Exploiting Coherent Relations to Improve Mortality Forecasting.
  Link to conference presentations
• Andrew Cairns and Vasil Enchev
  12th Longevity & Capital Mkts Conference
  Multi-population Mortality Models Fitting Forecasting, Comparisons and Applications
  Link to conference presentations
• Torsten Kleinow (co-authored with Stephen Richards)
  12th Longevity & Capital Mkts Conference
  Parameter Risk in Time-series Mortality Forecasts
  Link to conference presentations
• Andrew Cairns
  Longevity 12 Colloquium, Chicago, 2016
  The Impact of Longevity Risk Hedging on Economic Capital (PDF file - Slides 2016).
• Andrew Cairns
  International Mortality and Longevity Symposium
  Forecasting Socio-Economic Differences in the Mortality of Danish Males (PDF file - Slides 2016).