Transcript CIA Pension Seminar - Canadian Institute of Actuaries

CIA Annual Meeting
LOOKING BACK…focused on the future
Experience Studies
East Coast Edition!!!
June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
• Contestants:
• Scott McGaire, AVP and
Actuary, Manulife Financial
•Lloyd Milani, Actuarial Services
Vice-President, Munich Re
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Potpourri $100
•
Mission Impossible
•
What is the mission or term of reference
for the Committee on Expected
Experience?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Mission
•
Identify the need for and conduct, on a periodic basis,
experience studies on demographics, claims, expense and other
occurrences of actuarial interest relating to as many areas of
actuarial practice as possible, including the preparation of
experience tables. Analyze the experience with particular
emphasis on its applicability to, and impact on, actuarial
assumptions for pricing, cost estimates and valuation of
liabilities. Undertake research into selected areas of
experience where future experience might be materially
different from past experience. Identify the need for, and
prepare papers on, the selection of relevant assumptions where a
standard table is not appropriate, but the particular entity’s own
experience is not fully credible. Communicate with other
professional and industry groups on topics relating to
experience studies and expected experience
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Potpourri $300
•
Run Forrest Gump Run
•
Who is Mary Forrest, the chair of the
Committee on Expected Experience?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Structure
•
•
Group, Individual and Annuity sub
committees report to CEE Chair
CEE Chair reports to Member Services
Council
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
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Subcommittees Chairpersons
•
•
•
Annuity
Individual Life
Group L&H
Lloyd Milani
Scott McGaire
Peter Muirhead
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
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Annuity Committee Members
•
•
•
•
•
•
•
Lloyd Milani
Bob Howard
Penny Teddiman
Bonnie Forler
Beth Fitzmaurice
Mario Robitaille
Michel Dubois
Munich Re
Sun Life
Sun Life
Manulife
London Life
Industrial Alliance
Standard Life
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
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Individual Life Committee Members
•
•
•
•
•
•
•
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Scott McGaire
Lloyd Milani
Emile Elefteriadis
Marc-Andre Belzil
Marc Tardif
Beth Fitzmaurice
Stephen Beal
Bill Brath
Manulife
Munich Re
Swiss Re
RGA
Deloitte & Touche
London Life
Sun Life
Equitable
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
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Group Subcommittee Members
•
•
•
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•
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Peter Muirhead
J.J. Daniel Couture
Karen Davies
Réjean Dion
John Earl
Firozali Hirji
Tony Iglesias
•
•
•
•
•
•
•
Rudra Maharajh
Stella-Ann Menard
Wayne Morris
Michel Rouette
Michel Simard
Pascal Verrette
Gary Weigel
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Individual Life
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June 29, 2005
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CIA Annual Meeting
Experience Studies
•
Grim Reaper $100
•
When received, these results will be of
“dead” interest to actuaries
•
What are the 2001-2002 industry
mortality results?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Canadian Standard Ordinary Experience
•
•
•
2001-2002: July/August 2005
2002-2003: September/October 2005
2003-2004: Request for Data Coming Soon!
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June 29, 2005
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Experience Studies
Contributors
Exposures
Canada Life
9.44%
Desjardins
4.67%
Great-West Life
16.41%
Industrial Alliance
7.41%
Industrial-Alliance Pacific
2.09%
Manulife Financial
5.30%
Maritime Life
11.10%
Clarica
18.90%
National
1.91%
Sun Life
7.49%
Transamerica Life
15.28%
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June 29, 2005
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Experience Studies
Exposures
Number
(‘000s)
Amount
(millions)
1999-00
2000-01
2001-02
8,134
7,927
7,752
564,752
576,167
609,306
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CIA Annual Meeting
Experience Studies
Death
Claims
1999-00
2000-01
2001-02
Number
50,248
50,569
49,238
Amount
(millions)
1,018
1,070
1,117
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June 29, 2005
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CIA Annual Meeting
Experience Studies
Average
1999-00
2000-01
2001-02
Claim
20,253
21,155
22,691
Sum
Assured
69,434
72,688
78,596
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CIA Annual Meeting
Experience Studies
Claims > $1 million
1999-00
2000-01
2001-02
Male Select
22.9
(10)
39.6
(17)
59.9
(29)
Female Select
4.7
(2)
5.1
(3)
0.0
(0)
Male & Female Ultimate
1.8
(1)
1.6
(1)
4.6
(3)
Total
29.3
(13)
46.3
(21)
64.5
(32)
In Millions of Dollars. (Number of Claims in Brackets.)
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June 29, 2005
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CIA Annual Meeting
Experience Studies
Canadian Standard Ordinary
Experience
Ratio to CIA 8692
120
Male Smoker
100
80
Male Non Smoker
60
40
Female Smoker
20
0
1997- 1998- 1999- 2000- 200198
99
00
01
02
Female Non
Smoker
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CIA Annual Meeting
Experience Studies
Ratio of CIA 8692
Canadian Standard Ordinary
Experience 2001-02 by Policy Size
85
80
<$100K
75
70
>$100K to
<$250K
65
60
>$250K
55
Select
Ultimate
Total
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
Canadian Standard Ordinary
Experience 2001-02
% of CIA8692
120
100
80
60
40
<100K
20
0
1
2
3
4
5
6-10 1115
>$100K to
<$250K
>$250K
Duration
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Grim Reaper $300
•
This problem delayed action by a mock
US Government agency.
•
What is the error that included nonunderwritten lives in the CIA industry
mortality study?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
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Data Problem 1
•
•
•
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Non-underwritten lives included
Data limited to the ‘unknown underwriting’
classification
Error included in all past submissions
Will include comparisons showing effect of
problem
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June 29, 2005
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CIA Annual Meeting
Experience Studies
Canadian Standard Ordinary - Underwriting Unknown
2001-02
2001-02
Ratio to CIA 8692
Original
Revised
Difference
Male Smoker
87.9
85.7
2.2
Male Non Smoker
71.9
68.1
3.8
Female Smoker
86.5
80.9
5.6
Female Non Smoker
78.6
75.1
3.5
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
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Data Problem 2
•
•
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One company did not record cause of death
for a period of time on one system
“Unknown” and “Did not contribute” are
combined in the reports
Cause of death percentages depressed,
making comparisons to other years difficult
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Grim Reaper $400
•
This distribution method saved
'experienced' actuaries a lot of time.
•
What is posting readable data on the CIA
website?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Distribution of Results
•
•
Regular Paper Package
CIA Website
•
•
•
•
Currently PDF format
Exploring EXCEL or text format
Exploring inclusion of more detailed
results
CD
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Grim Reaper $500
•
This table is not furniture, but will still be
a boon if completed.
•
What is the next CIA Industry mortality
table?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
New Industry Mortality Table
•
•
•
Last table was CIA8692
Will be requesting proposals later this
summer
Probably include 1998 to 2004
experience (CIA9804?)
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Issues for New Table:
•
•
•
Fluid Testing – unable to split
Length of Select Period
Preferred Underwriting
•
•
•
Too inconsistent
Report Smoker Distinct + Preferred
Separately
Error in unknown underwriting data
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Annuity
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Grumpy Old Men $100
•
Any minute now
•
When will next Individual Annuity
mortality study be published?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
•
Due to be published by the end of summer
Study years
•
•
•
•
•
1997 – 1998
1998 – 1999
1999 – 2000
2000 – 2001
Same format as 1996-97 study
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#4608
CIA Annual Meeting
Experience Studies
•
Issues
•
•
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Some data problems were identified and
required re-submission by a company
A few companies submitted data late
One company unable to submit data
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Grumpy Old Men $300
•
Marriage is the lesser of two evils
•
What does the annuity study show as
being a significant factor in annuitant
mortality?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
Company
1997-1998 1998-1999 1999-2000 2000-2001
Canada
18.3%
0.0%
0.0%
0.0%
Clarica
14.7%
17.6%
17.2%
18.6%
Cooperators
1.1%
1.7%
1.3%
1.4%
Great-West
11.8%
13.4%
13.9%
13.6%
Industrial-Alliance
0.0%
7.1%
7.5%
7.0%
London
9.2%
10.0%
8.8%
9.8%
Manulife
38.4%
41.9%
42.2%
40.4%
Standard
6.6%
8.3%
9.1%
9.2%
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
Policy
Year
Number of
Companies
Number
Exposed
Number of
Deaths
1991-1992
9
202,151
6,838
1992-1993
10
217,926
7,878
1993-1994
9
213,730
8,152
1994-1995
8
177,001
7,395
1995-1996
8
175,915
7,367
1996-1997
8
174,948
7,702
1997-1998
7
179,486
8,599
1998-1999
7
153,995
7,683
1999-2000
7
149,043
7,563
2000-2001
7
143,982
7,791
1991-2001
10
1,788,178
76,968
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
Number of Policies
Annualized Income
Policy
Year
Male
Female
Male
Female
1991-1992
103.0%
91.9%
98.3%
85.9%
1992-1993
103.2%
96.5%
100.5%
89.2%
1993-1994
102.0%
98.3%
99.2%
95.5%
1994-1995
106.4%
98.8%
96.7%
100.2%
1995-1996
101.1%
95.1%
93.4%
95.0%
1996-1997
99.7%
97.0%
91.5%
93.8%
1997-1998
101.4%
98.2%
96.4%
93.6%
1998-1999
99.3%
98.1%
95.0%
98.9%
1999-2000
97.7%
91.9%
89.2%
85.5%
2000-2001
99.2%
92.9%
94.4%
87.8%
1991-2001
101.3%
95.9%
95.3%
92.5%
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
A/E Ratios
by #
110%
100%
90%
80%
70%
19
89
19
90
19
91
19
92
19
93
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
60%
Single
Joint
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
A/E Ratios
by #
19
89
19
90
19
91
19
92
19
93
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
150%
140%
130%
120%
110%
100%
90%
80%
70%
60%
Survivor
Joint
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
A/E Ratios
by #
120%
110%
100%
90%
80%
70%
19
89
19
90
19
91
19
92
19
93
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
60%
Male
Female
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
115%
110%
105%
100%
95%
y = -0.0022x + 1.0155
90%
85%
80%
75%
2
99
19
98
19
97
19
96
19
95
19
94
19
93
19
92
19
91
R = 0.0253
19
19
90
Actual/Expected
Male Select, by Policies
Year of Experience
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
Male Select, by Income
Actual/Expected
115%
110%
105%
100%
95%
y = -0.0113x + 0.999
90%
R 2 = 0.3057
85%
80%
99
19
98
19
97
19
96
19
95
19
94
19
93
19
92
19
91
19
19
90
75%
Year of Experience
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Grumpy Old Men $400
•
Sex and numbers
•
What is having an annuitant mortality
database available on the CIA website?
LOOKING BACK…focused on the future
June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
•
•
Experience data to be made available in a
database format
Summarized such that company
experience can not be identified
Issues
•
•
Amount of data – technical problems
Should only the contributing companies
receive this information?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Data Format
•
Study year (13 years)
Sex
Issue Age
Duration
Single/Joint/Survivor
Tax types - RRSP/RPP/non-registered
Refund type
•
Amounts bands, 0-1k, 1k-5k, 5k-10k, 10k+
•
•
•
•
•
•
•
Calculated Information
•
•
•
Exposure (number and amount)
Expected (number and amount)
Actual (number and amount)
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June 29, 2005
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CIA Annual Meeting
Experience Studies
•
Grumpy Old Men $500
•
The average year that your current co-op
student was born.
•
What is 1983, also the year in which the
current annuitant mortality table was
developed?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Proposed New Table
•
•
•
•
•
Based on Experience Years 1988 to 2001
Male, Female
Single, Joint, Survivor
Attained ages 60 to 90
Being developed by Bob Howard
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Process for Approval
•
•
Develop table and documentation in draft
Submit to membership for commentary
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
Proposed Annuity Mortality
0.259
0.209
0.159
0.109
0.059
0.009
60
65
70
75
83 Basic
80
Raw
85
90
95
100
Grad
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
Proposed Mortality Ratio
1.30
% IA 83
1.20
1.10
Raw
1.00
Grad
0.90
0.80
60
65
70
75
80
85
90
95
100
Age
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Lapse Studies
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Lapse in Judgment $100
•
Outdated and really outdated
•
What is the UL Level COI and the T100
lapse studies last done in 2003 and 1999
respectively?
LOOKING BACK…focused on the future
June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Term to 100 lapse study
•
•
•
UL Level COI lapse study
•
•
•
•
Update results
Expect exposures in the 20th durations+
Add additional exposure
Attempt to over come some of the short
comings of 2003 study
Refine the study
Expected Completion date July 2006
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
UL Level COI Average Pricing Lapse Rates
30 Year Old (Top 10)
50 Year Old (Top 10)
30 Year Old (Remaining Co)
50 Year Old (Remaining Co)
2.5
2.5
2.0
2.0
Lapse Rate %
Lapse Rate %
Duration 30
1.5
1.0
1.5
1.0
0.5
0.5
0.0
0.0
2001
2002
2003
2004
2005
2001
2002
2003
2004
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2005
June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
•
•
Lapse in Judgment $300
How many times I was ‘Screeched in’ last
night
What is 5, which so happens to be the
number of key differences between the old
studies and the new ones?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Additional information:
•
•
•
•
•
Funding levels
Premium Deposits
Cash Value (T100)
YRT COI conversions to Level COI
Non-guarantee elements
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Lapse in Judgment $400
•
Canada Day
•
What is the date that the data for the Level
COI and T100 studies is due?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
•
•
•
Request for data sent March 05
Sent to 16 companies
Deadline is July 1
A handful of companies have been asking
questions about the data requirements
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Lapse in Judgment $500
•
Shock and Awe
•
How will your policyholder feel after she
receives the bill for the 11th duration
premium on their Term 10 policy?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
•
•
•
Lapse study for Renewable term products
Premium Persistency studies
Lapse study for Critical Illness
Updated UL Level COI study in 3 years
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
T10 Basic Lapse - 30 Year Old (Top 10)
T10 Basic Lapse - 30 Year Old (Remaining)
T10 Selective Lapse - 30 Year Old (Top 10)
T10 Selective Lapse - 30 Year Old (Remaining)
40
40
35
35
30
30
25
25
Lapse Rate %
Lapse Rate %
Preferred Term 10 Lapses
20
15
20
15
10
10
5
5
0
0
1
2
3
4
5
6
7
8
9
Duration
10 11 12 13 14 15
1
2
3
4
5
6
7
8
9
Duration
10 11 12 13 14 15
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
PV Premium Breakdown – T10
Top 10
Remaining Companies
PV Other
0.2%
8.2%
PV Profit
7.7%
2.5%
PV Conversion Costs
0.7%
0.2%
PV Surrender Benefits
0.1%
57.5%
PV Death Benefits
55.4%
11.8%
PV Expenses
17.5%
3.8%
16.0%
PV Other Distribution Costs 4.4%
PV Compensation
13.9%
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
PV Premium Breakdown – T10
First 10 Years Only
Top 10
Remaining Companies
PV Other
0.2%
PV Profit
2.5%
PV Conversion Costs
1.2%
0.2%
PV Surrender Benefits
0.1%
58.7%
PV Death Benefits
51.0%
17.0%
PV Expenses
26.2%
4.8%
PV Other Distribution Costs
6.0%
23.1%
PV Compensation
20.0%
-6.3%
PV Profit
-4.7%
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
Premium Persistency UL Level COI
Mid Funded UL Level COI (Top 10)
Max Funded UL Level COI (Top 10)
Mid Funded UL Level COI (Remaining Companies)
Max Funded UL Level COI (Remaining Companies)
100%
90%
80%
Persistency Rate
70%
60%
50%
40%
30%
20%
10%
0%
1
5
10
15
20
Duration
25
30
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Ultimate
June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Potpourri $400
•
Terminator 4 – Disabled no more
•
What is the group sub-committee’s LTD
termination study?
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
Group
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June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
•
•
•
•
•
LTD Termination Study
Previous study for experience years 1988
to 1994 (released a few years ago)
Additional data for 1995 to 1997
experience years
Data collected a few years ago
Publish study in 2005 or 2006
LOOKING BACK…focused on the future
June 29, 2005
#4608
CIA Annual Meeting
Experience Studies
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Potpourri $500
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Answers
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Do you have any questions?
LOOKING BACK…focused on the future
June 29, 2005
#4608