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Substandard Structured Settlement Annuities - Best estimate mortality: Support for the Modified Log-Linear Declining method
By Gordon Klein and Cameron Denker
23 November 2022
For a substandard structured settlement annuity (SSSA), developing a mortality assumption from experience study data presents an interesting challenge. Three major basic methods have been used in academic studies for an SSSA, but they fail to accurately predict future mortality. We conclude the modified log-linear declining (LLD) method is best, and present our analysis as follows:
- Structured settlement annuities
- The challenge of SSSA mortality
- Three basic methods for inferring mortality rates
- Comparison of survival functions, reserves, and mortality rates
- Evaluating basic methods with actual policy data
- Overview of modified methods
- Evaluating modified methods with actual policy data
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Substandard Structured Settlement Annuities - Best estimate mortality: Support for the Modified Log-Linear Declining method
The modified log-linear declining method proves to be the best way for developing a mortality assumption from SSSA experience study data.
Gordon Klein, Cameron Denker