THE SAINT MODEL: A DECADE LATER

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Standard

THE SAINT MODEL : A DECADE LATER. / Jarner, Søren Fiig; Jallbjørn, Snorre.

In: ASTIN Bulletin, Vol. 52, No. 2, 2022, p. 483–517.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Jarner, SF & Jallbjørn, S 2022, 'THE SAINT MODEL: A DECADE LATER', ASTIN Bulletin, vol. 52, no. 2, pp. 483–517. https://doi.org/10.1017/asb.2021.37

APA

Jarner, S. F., & Jallbjørn, S. (2022). THE SAINT MODEL: A DECADE LATER. ASTIN Bulletin, 52(2), 483–517. https://doi.org/10.1017/asb.2021.37

Vancouver

Jarner SF, Jallbjørn S. THE SAINT MODEL: A DECADE LATER. ASTIN Bulletin. 2022;52(2):483–517. https://doi.org/10.1017/asb.2021.37

Author

Jarner, Søren Fiig ; Jallbjørn, Snorre. / THE SAINT MODEL : A DECADE LATER. In: ASTIN Bulletin. 2022 ; Vol. 52, No. 2. pp. 483–517.

Bibtex

@article{54ea55833fef46e3b2eede65c4cead8e,
title = "THE SAINT MODEL: A DECADE LATER",
abstract = "While many of the prevalent stochastic mortality models provide adequate short- to medium-term forecasts, only few provide biologically plausible descriptions of mortality on longer horizons and are sufficiently stable to be of practical use in smaller populations. Among the very first to address the issue of modelling adult mortality in small populations was the SAINT model, which has been used for pricing, reserving and longevity risk management by the Danish Labour Market Supplementary Pension Fund (ATP) for more than a decade. The lessons learned have broadened our understanding of desirable model properties from the practitioner{\textquoteright}s point of view and have led to a revision of model components to address accuracy, stability, flexibility, explainability and credibility concerns. This paper serves as an update to the original version published 10 years ago and presents the SAINT model with its modifications and the rationale behind them. The main improvement is the generalization of frailty models from deterministic structures to a flexible class of stochastic models. We show by example how the SAINT framework is used for modelling mortality at ATP and make comparisons to the Lee-Carter model.",
author = "Jarner, {S{\o}ren Fiig} and Snorre Jallbj{\o}rn",
year = "2022",
doi = "10.1017/asb.2021.37",
language = "English",
volume = "52",
pages = "483–517",
journal = "ASTIN Bulletin: The Journal of the IAA",
issn = "0515-0361",
publisher = "Cambridge University Press",
number = "2",

}

RIS

TY - JOUR

T1 - THE SAINT MODEL

T2 - A DECADE LATER

AU - Jarner, Søren Fiig

AU - Jallbjørn, Snorre

PY - 2022

Y1 - 2022

N2 - While many of the prevalent stochastic mortality models provide adequate short- to medium-term forecasts, only few provide biologically plausible descriptions of mortality on longer horizons and are sufficiently stable to be of practical use in smaller populations. Among the very first to address the issue of modelling adult mortality in small populations was the SAINT model, which has been used for pricing, reserving and longevity risk management by the Danish Labour Market Supplementary Pension Fund (ATP) for more than a decade. The lessons learned have broadened our understanding of desirable model properties from the practitioner’s point of view and have led to a revision of model components to address accuracy, stability, flexibility, explainability and credibility concerns. This paper serves as an update to the original version published 10 years ago and presents the SAINT model with its modifications and the rationale behind them. The main improvement is the generalization of frailty models from deterministic structures to a flexible class of stochastic models. We show by example how the SAINT framework is used for modelling mortality at ATP and make comparisons to the Lee-Carter model.

AB - While many of the prevalent stochastic mortality models provide adequate short- to medium-term forecasts, only few provide biologically plausible descriptions of mortality on longer horizons and are sufficiently stable to be of practical use in smaller populations. Among the very first to address the issue of modelling adult mortality in small populations was the SAINT model, which has been used for pricing, reserving and longevity risk management by the Danish Labour Market Supplementary Pension Fund (ATP) for more than a decade. The lessons learned have broadened our understanding of desirable model properties from the practitioner’s point of view and have led to a revision of model components to address accuracy, stability, flexibility, explainability and credibility concerns. This paper serves as an update to the original version published 10 years ago and presents the SAINT model with its modifications and the rationale behind them. The main improvement is the generalization of frailty models from deterministic structures to a flexible class of stochastic models. We show by example how the SAINT framework is used for modelling mortality at ATP and make comparisons to the Lee-Carter model.

UR - http://dx.doi.org/10.1017/asb.2021.37

U2 - 10.1017/asb.2021.37

DO - 10.1017/asb.2021.37

M3 - Journal article

VL - 52

SP - 483

EP - 517

JO - ASTIN Bulletin: The Journal of the IAA

JF - ASTIN Bulletin: The Journal of the IAA

SN - 0515-0361

IS - 2

ER -

ID: 291020056