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Commit 54333211 authored by Reinhold Kainhofer's avatar Reinhold Kainhofer
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Vignette: Usage of US pension tables and others

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vignettes/international-mortality-tables-overview.Rmd
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...@@ -50,21 +50,6 @@ mortalityTables.load("Austria_Census") ...@@ -50,21 +50,6 @@ mortalityTables.load("Austria_Census")
## Various Links (to be processed): ## Various Links (to be processed):
* Australian population life tables (1881-2017): http://www.aga.gov.au/publications/life_table_2015-17/ * Australian population life tables (1881-2017): http://www.aga.gov.au/publications/life_table_2015-17/
* US Pri-2012 (US private sector retirement plans): https://www.soa.org/globalassets/assets/files/resources/experience-studies/2019/pri-2012-mort-tables-amount.xlsx
* US Retirement Plans Experience Studies: https://www.soa.org/research/topics/pension-exp-study-list/
* Mortality Improvement Scale MP-2019
* Mortality Improvement Scale MP-2018
* Mortality Improvement Scale MP-2017
* Mortality Improvement Scale MP-2016
* Mortality Improvement Scale MP-2015
* Mortality Improvement Scale MP-2014
* Mortality Improvement Scale BB
* Pri-2012 Private Retirement Plans Mortality Tables
* Pub-2010 Public Retirement Plans Mortality Tables
* RP-2014 Mortality Tables (and RPH-2014 for headcount-weighted)
* RP-2000 Mortality Tables
* US SSA mortality rates 1900-2007, https://mort.soa.org/ViewTable.aspx?&TableIdentity=1502
* US IRS Static mortality tables (prescribed for each year)
* Greece: * Greece:
* EAE 2005 A (life products) * EAE 2005 A (life products)
* EAE 2005 P (annuity products) * EAE 2005 P (annuity products)
...@@ -151,7 +136,7 @@ Annuity tables in Austria are traditionally published by the [Actuarial Associat ...@@ -151,7 +136,7 @@ Annuity tables in Austria are traditionally published by the [Actuarial Associat
* Source: H. Nabl: ÖVM 59/61 - RR67 - 3%, Die Versicherungsrundschau, 22. Jahrgang, Heft 12, Dez. 1967, p.373--380. * Source: H. Nabl: ÖVM 59/61 - RR67 - 3%, Die Versicherungsrundschau, 22. Jahrgang, Heft 12, Dez. 1967, p.373--380.
```{r} ```{r OeVM59}
plotMortalityTables(RR67, mort.AT.census.1961.male) plotMortalityTables(RR67, mort.AT.census.1961.male)
``` ```
...@@ -327,10 +312,7 @@ mort.AT.MCMC ...@@ -327,10 +312,7 @@ mort.AT.MCMC
* Usage with the `MortalityTables` package: * Usage with the `MortalityTables` package:
```{r AT.Observation, results="hide"} ```{r AT.Observation, results="hide"}
mortalityTables.load("Austria_PopulationObserved") mortalityTables.load("Austria_PopulationObserved")
mort.AT.observed.male mort.AT.observed
mort.AT.observed.female
mort.AT.observed.unisex
``` ```
### Comparison ### Comparison
...@@ -361,9 +343,7 @@ plotMortalityTables( ...@@ -361,9 +343,7 @@ plotMortalityTables(
```{r AT.population.History} ```{r AT.population.History}
plotMortalityTables( plotMortalityTables(
mort.AT.observed.male, mort.AT.observed,
mort.AT.observed.female,
mort.AT.observed.unisex,
YOB = 1940, YOB = 1940,
aes = aes(color = sex), aes = aes(color = sex),
...@@ -1458,7 +1438,9 @@ IRS valuation tables (https://www.irs.gov/pub/irs-pdf/p1457.pdf): ...@@ -1458,7 +1438,9 @@ IRS valuation tables (https://www.irs.gov/pub/irs-pdf/p1457.pdf):
* Table 80CNSMT, §7520 rates (1.5.1989-30.4.1999) * Table 80CNSMT, §7520 rates (1.5.1989-30.4.1999)
* Table 90CM (1.5.1999-30.4.2009) * Table 90CM (1.5.1999-30.4.2009)
* Table 2000CM (1.5.2009-...) * Table 2000CM (1.5.2009-...)
* US IRS Static mortality tables (prescribed for each year), IRS 2009/2010/2011/2012/2013/2014/2015/2016
* US Crude mortality rates 2000-2018: https://www.soa.org/resources/experience-studies/2020/us-pop-mort-rates-2000-2018/
Standard Industrial Mortality Tables Standard Industrial Mortality Tables
* 1941 CSI Table (Commissioners' Standard Industrial Mortality Table) * 1941 CSI Table (Commissioners' Standard Industrial Mortality Table)
...@@ -1485,13 +1467,27 @@ Standard Industrial Mortality Tables ...@@ -1485,13 +1467,27 @@ Standard Industrial Mortality Tables
* 2015 Preneed Basic * 2015 Preneed Basic
* https://www.soa.org/resources/experience-studies/2017/preneed-mortality-report/ * https://www.soa.org/resources/experience-studies/2017/preneed-mortality-report/
* 2000-2004 Preneed Mortality Table * 2000-2004 Preneed Mortality Table
* SAA Mortality Rates (Period, 1900-2007)
* IRS 2009/2010/2011/2012/2013/2014/2015/2016 * SAA Mortality Rates (Period, 1900-2007), https://mort.soa.org/ViewTable.aspx?&TableIdentity=1502
* Sub-Standard Industrial Mortality Table * Sub-Standard Industrial Mortality Table
* Pub-2010 Public Retirement Plans Mortality Tables:
* Source: https://www.soa.org/resources/research-reports/2019/pub-2010-retirement-plans/
* Pri-2012 (US private sector retirement plans): https://www.soa.org/globalassets/assets/files/resources/experience-studies/2019/pri-2012-mort-tables-amount.xlsx
* RP-2014 Mortality Tables (and RPH-2014 for headcount-weighted)
* US Retirement Plans Experience Studies: https://www.soa.org/research/topics/pension-exp-study-list/
* Mortality Improvement Scale MP-2019
* Mortality Improvement Scale MP-2018
* Mortality Improvement Scale MP-2017
* Mortality Improvement Scale MP-2016
* Mortality Improvement Scale MP-2015
* Mortality Improvement Scale MP-2014
* Mortality Improvement Scale BB
## Accidental Death Benefits ## Accidental Death Benefits
* 1926--33 Intercompany Double Indemnity Table for Accidental Death Benefits * 1926--33 Intercompany Double Indemnity Table for Accidental Death Benefits
...@@ -1514,12 +1510,12 @@ plotMortalityTables( ...@@ -1514,12 +1510,12 @@ plotMortalityTables(
* Source: Emory M’Clintock, "Special Tables for the Estimation of Mortality among Annuitants", Transaction of the Society of Actuaries Vol. VI (1899), p. 20. https://archive.org/details/transactions06actuuoft/page/12/mode/2up * Source: Emory M’Clintock, "Special Tables for the Estimation of Mortality among Annuitants", Transaction of the Society of Actuaries Vol. VI (1899), p. 20. https://archive.org/details/transactions06actuuoft/page/12/mode/2up
* American Annuitants Table (1920) * American Annuitants Table (1920)
* Source: Arthur Hunter, "Mortality Among American Annuitants and Premiums Based Thereon", Transactions Society of Actuaries, Vol. XXI, Society of Actuaries (1920), p. 166-167. https://archive.org/details/transactions21actuuoft/page/156/mode/2up * Source: Arthur Hunter, "Mortality Among American Annuitants and Premiums Based Thereon", Transactions Society of Actuaries, Vol. XXI, Society of Actuaries (1920), p. 166-167. https://archive.org/details/transactions21actuuoft/page/156/mode/2up
* 1937 Standard Annuity Table (male) `r USA1937Annuity` * 1937 Standard Annuity Table (male)
* Source: Frank D. Kineke, “A New Annuity Mortality Table”, Transactions Society of Actuaries XXXIX , Society of Actuaries, (1938) p. 18-19 * Source: Frank D. Kineke, “A New Annuity Mortality Table”, Transactions Society of Actuaries XXXIX , Society of Actuaries, (1938) p. 18-19
* 1943 Annuity Experience table * 1943 Annuity Experience table
* Source: William A. Jenkins and Edward A. Lew, “A New Mortality Basis for Annuities”; https://www.soa.org/essays-monographs/50th-anniversary/m-av99-1-01.pdf * Source: William A. Jenkins and Edward A. Lew, “A New Mortality Basis for Annuities”; https://www.soa.org/essays-monographs/50th-anniversary/m-av99-1-01.pdf, https://www.soa.org/globalassets/assets/Library/Research/Transactions-Of-Society-Of-Actuaries/1949/January/tsa49v1n111.pdf
* a-1949 Annuity Table * a-1949 Annuity Table
* Source: William A. Jenkins and Edward A. Lew, “A New Mortality Basis for Annuities”; https://www.soa.org/essays-monographs/50th-anniversary/m-av99-1-01.pdf * Source: William A. Jenkins and Edward A. Lew, “A New Mortality Basis for Annuities”; https://www.soa.org/essays-monographs/50th-anniversary/m-av99-1-01.pdf, https://www.soa.org/globalassets/assets/Library/Research/Transactions-Of-Society-Of-Actuaries/1949/January/tsa49v1n111.pdf
* 1951 GAM * 1951 GAM
* Source: Ray M. Peterson, “Group Annuity Mortality”, Transactions of the Society of Actuaries, Vol. IV (1952). https://www.soa.org/Library/Research/Transactions-Of-Society-Of-Actuaries/1949-59/1952/January/tsa52v4n918.pdf * Source: Ray M. Peterson, “Group Annuity Mortality”, Transactions of the Society of Actuaries, Vol. IV (1952). https://www.soa.org/Library/Research/Transactions-Of-Society-Of-Actuaries/1949-59/1952/January/tsa52v4n918.pdf
* 1963 Annuity Experience table * 1963 Annuity Experience table
...@@ -1711,18 +1707,14 @@ plotMortalityTables( ...@@ -1711,18 +1707,14 @@ plotMortalityTables(
## Pension Plans ## Pension Plans
* RP-2000 (Retirement Plan)
* Source: https://www.soa.org/resources/experience-studies/2000-2004/research-rp-2000-mortality-tables/
* RP-2014 + Scale MP-2014, MP-2015, MP-2016, MP-2017, MP-2018, MP-2019, MP-2020 * RP-2014 + Scale MP-2014, MP-2015, MP-2016, MP-2017, MP-2018, MP-2019, MP-2020
* Source: https://www.soa.org/resources/experience-studies/2014/research-2014-mort-tables/ * Source: https://www.soa.org/resources/experience-studies/2014/research-2014-mort-tables/
* https://www.soa.org/resources/experience-studies/2014/research-2014-rp/ * https://www.soa.org/resources/experience-studies/2014/research-2014-rp/
* RPH-2014 * RPH-2014
* PubT-2010, PubS-2010, PubG-2010, PubNS-2010, Pub-2010 + Headcount versions
* Source: https://www.soa.org/resources/research-reports/2019/pub-2010-retirement-plans/
* Pri-2012, Pri.H-2012 * Pri-2012, Pri.H-2012
* Source: https://www.soa.org/resources/experience-studies/2019/pri-2012-private-mortality-tables/ * Source: https://www.soa.org/resources/experience-studies/2019/pri-2012-private-mortality-tables/
* UP-94 table with 7% margin
### UP-1984 - Unisex Uninsured Pensioner Mortality ### UP-1984 - Unisex Uninsured Pensioner Mortality
...@@ -1735,7 +1727,7 @@ plotMortalityTables( ...@@ -1735,7 +1727,7 @@ plotMortalityTables(
approximate female mortality rates. approximate female mortality rates.
```{r} ```{r UP1984}
plotMortalityTables(USA.UP1984) plotMortalityTables(USA.UP1984)
``` ```
...@@ -1745,14 +1737,50 @@ plotMortalityTables(USA.UP1984) ...@@ -1745,14 +1737,50 @@ plotMortalityTables(USA.UP1984)
Source: The Society of Actuaries UP-94 Task Force, "The 1994 Uninsured Pensioner Mortality Table", Transactions Society of Actuaries Vol. XLVII, (Chicago, 1995), p. 824-826. Source: The Society of Actuaries UP-94 Task Force, "The 1994 Uninsured Pensioner Mortality Table", Transactions Society of Actuaries Vol. XLVII, (Chicago, 1995), p. 824-826.
http://www.soa.org/library/research/transactions-of-society-of-actuaries/1990-95/1995/january/tsa95v4721.pdf http://www.soa.org/library/research/transactions-of-society-of-actuaries/1990-95/1995/january/tsa95v4721.pdf
```{r} ```{r UP94}
plotMortalityTables(USA.UP94, YOB = 1980, title = "UP-94 for birth year 1980") plotMortalityTables(USA.UP94, YOB = 1980, title = "UP-94 for birth year 1980")
``` ```
### RP-2000 ### RP-2000
Projected beyond 2000 using scale AA
Source: Retirement Plans Experience Committee of the Society of Actuaries, “The RP-2000 Mortality Tables”, Society of Actuaries, (2000)
Source: https://www.soa.org/resources/experience-studies/2000-2004/research-rp-2000-mortality-tables/
Source: https://www.soa.org/files/research/exp-study/rp00_mortalitytables.pdf
```{r RP2000}
plotMortalityTables(
USA.RP2000 %>% pT.getSubTable("qx"), USA.RP2000 %>% pT.getSubTable("qix"), USA.RP2000 %>% pT.getSubTable("qpx"), USA.RP2000 %>% pT.getSubTable("qgx"),
USA.RP2000.Collar, USA.RP2000.Amount,
Period = 2020, aes = aes(color = collar), legend.position = "bottom", legend.key.width = unit(2, "lines")) +
ggtitle("USA RP-2000 pension tables, Period 2020") +
facet_grid(.~sex)
USA.RP2000.Collar
```
### Pub-2010 - Public Retirement Plans Mortality Tables
* Public Employees' retriement plans, broken down into:
* General public Servants, Teachers and Security
* Additional Tables for Juveniles (ages 0-17) and Above-Median / Below-Median income
* Tables derived from pure head-counts as well as from amounts
* PubT-2010, PubS-2010, PubG-2010 + Headcount versions
* Source: Society of Actuaries, Retirement Plans Experience Committee: Pub-2010 Public Retirement Plans Mortality Tables Report. January 2019. https://www.soa.org/resources/research-reports/2019/pub-2010-retirement-plans/
```{r Pub2010,fig.height=10,fig.width=10}
dimnames(USA.Pub2010)
plotMortalityTables(
USA.Pub2010 %>% pT.getSubTable("qx"), USA.Pub2010 %>% pT.getSubTable("qix"), USA.Pub2010 %>% pT.getSubTable("qpx"), USA.Pub2010 %>% pT.getSubTable("qwy"),
aes = aes(color = subtable, linetype = salary), legend.position = "bottom", legend.key.width = unit(1.5, "lines")
) +
facet_grid(population ~ sex + weights) +
scale_linetype_manual(values = c("AboveMedian" =2, "BelowMedian"=3, "Overall" = 1))
```
### RP-2014 / MP-2014 ### RP-2014 / MP-2014
......
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