International Mortality Tables Overview

2020-12-13

library(tidyverse, quietly = TRUE)
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library(MortalityTables)
mortalityTables.load("Austria_Census")

1 Austria

1.1 Annuities

Annuity tables in Austria are traditionally published by the Actuarial Association of Austria (AVÖ).

1.1.1 ÖVM 59/61 - RR 67

[TODO: Get actual table data and publication]

  • Source: H. Nabl: ÖVM 59/61 - RR67 - 3%, Die Versicherungsrundschau, 22. Jahrgang, Heft 12, Dez. 1967, p.373–380.
mortalityTables.load("Austria_Annuities_RR67")
plotMortalityTables(RR67, mort.AT.census.1961.male)

1.1.2 EROM/F 85 (Period table 2020), EROM/F G 1950 (Cohort table with age shift)

  • EROM/F 85: gender-specific period tables, projected to year 2020 to account for mortality improvement

    • male+female, ages 0-99
  • EROM/F G 1950: gender-specific cohort tables, base cohort 1950 with age-shifting to account for mortality improvement

    • male+female, ages 0-99
  • Derived from population mortalities 1980/82 (improvements from population mortalities 1949/51 and 1980/82), with annuitants’ selection factors applied

  • First-order table without explicit security loadings

  • Usage: Individual Annuity pricing and reserving

  • Publisher: Aktuarvereinigung Österreichs (AVÖ), https://avoe.at/

  • Target collective: Individual annuitants

  • Usage with the MortalityTables package:

mortalityTables.load("Austria_Annuities_EROMF")
EROM85.male
EROF85.female

EROM.G1950.male
EROM.G1950.male.av
EROF.G1950.female
EROF.G1950.female.av
  • Source: F.G. Liebmann, W. Schachermayer, M. Willomitzer: Zur Erstellung von Sterbetafeln EROM 85 und EROF 85, Mitteilungen der Aktuarvereinigung Österreichs, Heft 4, Dezember 1986, p. 1–52.
  • Source: F.G. Liebmann, W. Schachermayer, M. Willomitzer: Die Generationen-Sterbetafeln EROM G 1950 und EROF G 1950, Mitteilungen der Aktuarvereinigung Österreichs, Heft 4, Dezember 1986, p. 54–94.

1.1.3 AVÖ 1996-R

  • gender-specific cohort tables with age-specific trend to account for mortality improvement (approximation via age-shifting given alternatively)

    • male+female, ages 0-112, individual and group variants
  • Derived from population mortalities 1990/92 with annuitants’ selection factors applied

    • Trend factors derived from short-term population trend 1980–95 and long-term population trend 1865–1990
  • First-order table without explicit security loadings

  • Usage: Individual and Group Annuity pricing and reserving; Minimum required by Austrian Financial Authority until publication of successor table AVÖ 2005R

  • Publisher: Aktuarvereinigung Österreichs (AVÖ), https://avoe.at/

  • Target collective: Individual and group annuitants

  • Usage with the MortalityTables package:

mortalityTables.load("Austria_Annuities_AVOe1996R")
AVOe1996R
AVOe1996R.male
AVOe1996R.male.av325
AVOe1996R.male.group
AVOe1996R.female
AVOe1996R.female.av325
AVOe1996R.female.group
  • Source: S. Jörgen, F.G. Liebmann, F.W. Pagler, W. Schachermayer: Herleitung der Sterbetafel AVÖ 1996R für Rentenversicherungen, Mitteilungen der Aktuarvereinigung Österreichs, Heft 9, November 1997, p. 39–82.

1.1.4 AVÖ 2005-R

  • gender-specific cohort tables with age-specific trend to account for mortality improvement (approximation via age-shifting given alternatively)

    • male+female, ages 0-112, individual and group variants
    • unisex table published 2012 by mixing male+female tables
  • Derived from population mortalities 2000/02 with annuitants’ selection factors applied

    • Trend factors derived from mid-term population trend 1970–2000
  • First-order table with explicit security loadings and second-order table without security loadings

  • Usage: Individual and Group Annuity pricing and reserving; Current minimum required by Austrian Financial Authority

  • Publisher: Aktuarvereinigung Österreichs (AVÖ), https://avoe.at/

  • Target collective: Individual and group annuitants

  • Usage with the MortalityTables package:

mortalityTables.load("Austria_Annuities_AVOe2005R")
AVOe2005R
AVOe2005R.male
AVOe2005R.male.group
AVOe2005R.male.av
AVOe2005R.male.group.av
AVOe2005R.male.unloaded
AVOe2005R.male.nodamping
AVOe2005R.male.nodamping.group
AVOe2005R.male.nodamping.unloaded

AVOe2005R.female
AVOe2005R.female.group
AVOe2005R.female.av
AVOe2005R.female.group.av
AVOe2005R.female.unloaded
AVOe2005R.female.nodamping
AVOe2005R.female.nodamping.group
AVOe2005R.female.nodamping.unloaded

AVOe2005R.unisex
AVOe2005R.unisex.group
AVOe2005R.unisex.av
AVOe2005R.unisex.group.av
AVOe2005R.unisex.nodamping
AVOe2005R.unisex.nodamping.group

1.1.5 Comparisons

plotMortalityTables(RR67, EROM85.male, EROF85.female, EROM.G1950.male.av, EROF.G1950.female.av, AVOe1996R[, "Einzel"], AVOe2005R[c("m", "w"), "Einzel","loaded"],
                    aes = aes(color = year), Period = 2020, title = "Austrian Annuity Tables, Period 2020", 
                    legend.position = "right"
) + facet_grid(sex ~ .)


plotMortalityTables(RR67, EROM85.male, EROF85.female, EROM.G1950.male.av, EROF.G1950.female.av, AVOe1996R[, "Einzel"],AVOe2005R[c("m", "w"), "Einzel","loaded"],
                    aes = aes(color = year), YOB = 1965, title = "Austrian Annuity Tables, Cohort 1965", 
                    legend.position = "right"
) + facet_grid(sex ~ .)

1.2 Population Mortality (Austrian Census tables)

1.2.0.1 Census tables

  • gender-specific period tables
    • male+female, unisex only 2000/02 and 2010/12; ages 0–95, from 1930 on 0–100
  • Based on the official census data:
    • 1868/71
    • 1879/82
    • 1889/92
    • 1899/1902
    • 1909/12
    • 1930/33
    • 1949/51
    • 1959/61
    • 1970/72
    • 1980/82
    • 1990/92
    • 2000/02
    • 2010/12
  • Usage with the MortalityTables package:
mortalityTables.load("Austria_Census")
mort.AT.census
#>           Jahr
#> Geschlecht 1869 1880 1890 1900 1910 1931 1951 1961 1971 1981 1991 2001 2011
#>          m ?    ?    ?    ?    ?    ?    ?    ?    ?    ?    ?    ?    ?   
#>          w ?    ?    ?    ?    ?    ?    ?    ?    ?    ?    ?    ?    ?   
#>          u NA   NA   NA   NA   NA   NA   NA   NA   NA   NA   NA   ?    ?

1.2.1 Official population forecast (by Statistik Austria)

  • Gender-specific forecast (middle scenario) of the mortalities to 2080
  • Provided by Statistik Austria (no formal publication of the tables), can be used freely with attribution
  • Usage with the MortalityTables package:
mortalityTables.load("Austria_PopulationForecast")
mort.AT.forecast
mortalityTables.load("Austria_PopulationObserved")

1.2.2 Markov-Chain-Monte-Carlo-fitted population forecast (by J. Hirz)

  • Gender-specific forecast (middle scenario) of the mortalities by a MCMC-fit of age-specific trend factors
  • Derived for the Austrian pension Table AVÖ 2018-P.
  • Creator: Jonas Hirz
  • Usage with the MortalityTables package:
mortalityTables.load("Austria_PopulationMCMC")
#> Loading required package: reshape2
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#> Attaching package: 'reshape2'
#> The following object is masked from 'package:tidyr':
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#> Attaching package: 'pracma'
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#>     cross
#> Loading required package: MortalityLaws
mort.AT.MCMC
  • Source: R. Kainhofer, J. Hirz, A. Schubert: AVÖ 2018-P - Rechnungsgrundlagen für die Pensionsversicherung, Dokumentation der Pensionstafel, Arbeitskreis Rechnungsgrundlagen, Aktuarvereinigung Österreichs (AVÖ), 30. August 2018. https://oefdv.avoe.at/rechnungsgrundlagen/

1.2.3 Observed population mortalities 1947–2016 (by Statistik Austria)

  • Gender-specific observations of the mortalities from1947
  • Provided by Statistik Austria (no formal publication of the tables), can be used freely with attribution
  • Usage with the MortalityTables package:
mortalityTables.load("Austria_PopulationObserved")
mort.AT.observed.male
mort.AT.observed.female
mort.AT.observed.unisex

1.2.4 Comparison

plotMortalityTables(
  mort.AT.census[c("m", "w"),],
  
  aes = aes(color = table),
  legend.position = "right", legend.key.width = unit(2, "lines"),
  title = "Comparison of Austrian Census Mortalities"
) + labs(color = NULL) + facet_grid(sex ~ .)

plotMortalityTables(
  mort.AT.census[c("m", "w"),"2011"],
  mort.AT.forecast %>% mT.setDimInfo(table = "Official forecast"),
  mort.AT.MCMC[c("m", "w")] %>% mT.setDimInfo(table = "MCMC forecast"),

  YOB = 1980,
  aes = aes(color = table),
  legend.position = "right", legend.key.width = unit(2, "lines"),
  title = "Projected Austrian Population Mortalities, YOB 1980"
  
) + labs(color = NULL) + facet_grid(sex ~ .)

plotMortalityTables(
  mort.AT.observed.male,
  mort.AT.observed.female,
  mort.AT.observed.unisex,
  
  YOB = 1940,
  aes = aes(color = sex),
  legend.position = "right", legend.key.width = unit(2, "lines"),
  title = "Historic Austrian Population Mortalities (yearly raw observations), YOB 1940"
)
#> Warning in deathProbabilities(t, YOB = YOB): deathProbabilities: Not all observation years 1940-2040 of observed mortalityTable are available, using closest observations.
#> Available periods: 1947-2017

#> Warning in deathProbabilities(t, YOB = YOB): deathProbabilities: Not all observation years 1940-2040 of observed mortalityTable are available, using closest observations.
#> Available periods: 1947-2017
#> Warning in deathProbabilities(t, YOB = YOB): deathProbabilities: Not all observation years 1940-2040 of observed mortalityTable are available, using closest observations.
#> Available periods: 2002-2017

1.3 Occupational Pensions

1.3.1 Ettl-Pagler

  • gender-specific period tables for active and disabled persons (also transitions), as well as pensioners and widows
  • second-order table, describing the transition probabilities of the Austrian social security system
pensionTables.load("Austria_EttlPagler")
EttlPagler.male
EttlPagler.female
  • Source: Ettl W. und Pagler F.: “Rechnungsgrundlagen für die Pensionsversicherung”, Verlag: Verband der wissenschaftlichen Gesellschaften Österreichs, Wien, 1989

1.3.2 AVÖ 1999-P - Rechnungsgrundlagen für die Pensionsversicherung - Pagler-Pagler

  • gender-specific period tables for active and disabled persons (also transitions), as well as pensioners and widows
    • 2 Variants: “P” for pension reserves, “PK” for pension funds
    • 2 collectives: White-collar workers (“Angestellte”) and mixed collective of white- and blue-collar workers
  • second-order table, describing the transition probabilities of the Austrian social security system
  • Publisher: Aktuarvereinigung Österreichs (AVÖ), Creator: Pagler & Pagler
  • No documentation available
pensionTables.load("Austria_AVOe1999P")
AVOe1999P

1.3.3 AVÖ 2008-P - Rechnungsgrundlagen für die Pensionsversicherung - Pagler-Pagler

  • gender-specific period tables for active and disabled persons (also transitions), as well as pensioners and widows
    • 2 Variants: “P” for pension reserves, “PK” for pension funds
    • 2 collectives: White-collar workers (“Angestellte”) and mixed collective of white- and blue-collar workers
  • second-order table, describing the transition probabilities of the Austrian social security system
  • Publisher: Aktuarvereinigung Österreichs (AVÖ), Creator: Pagler & Pagler
  • No documentation available
pensionTables.load("Austria_AVOe2008P")
AVOe2008P

1.3.4 AVÖ 2018-P - Rechnungsgrundlagen für die Pensionsversicherung

  • gender-specific period tables for active and disabled persons (also transitions), as well as pensioners and widows
    • 2 Variants: “Rehageld” (“rehab money”) considered as invalidity or considered as active
    • 2 collectives: White-collar workers (“Angestellte”) and mixed collective of white- and blue-collar workers
  • second-order table, describing real the transition probabilities of the Austrian social security system (2000/2010 – 2016)
  • Publisher: Aktuarvereinigung Österreichs (AVÖ), Creator: R. Kainhofer, J. Hirz, A. Schubert
pensionTables.load("Austria_AVOe2018P")
AVOe2018P
  • Source: R. Kainhofer, J. Hirz, A. Schubert: AVÖ 2018-P - Rechnungsgrundlagen für die Pensionsversicherung, Dokumentation der Pensionstafel, Arbeitskreis Rechnungsgrundlagen, Aktuarvereinigung Österreichs (AVÖ), 30. August 2018. https://oefdv.avoe.at/rechnungsgrundlagen/

1.3.5 Comparisons

plotMortalityTables(
  EttlPagler.male %>% pT.getSubTable("qx"),
  AVOe1999P["m",,"IP", "P"] %>% pT.getSubTable("qx"),
  AVOe2008P["m",,"IP", "P"] %>% pT.getSubTable("qx"),
  AVOe2018P["m",,"IPRG"] %>% pT.getSubTable("qx"),
  legend.position = c(0.01, 0.99), legend.justification = c(0,1),
  title = "Comparison of Austrian Pension Tables"
) + labs(color = NULL)


plotMortalityTables(
  EttlPagler.male %>% pT.getSubTable("hx"),
  AVOe1999P["m",,"IP", "P"] %>% pT.getSubTable("hx"),
  AVOe2008P["m",,"IP", "P"] %>% pT.getSubTable("hx"),
  AVOe2018P["m",,"IPRG"] %>% pT.getSubTable("hx"),
  # legend.position = c(0.01, 0.99), legend.justification = c(0,1),
  title = "Comparison of Austrian Pension Tables",
  log = FALSE, legend.position = "bottom"
) + labs(color = NULL)

1.4 Experience Tables

1.4.1 Gesamtbestand (total portfolio) of life insurance companies 2012–16

  • gender-specific experience tables (period tables for 2012–16, central year 2014) for the whole Austrian insurance portfolio
    • separated into tradiional and unit-linlked contracts
  • Experience mortality and lapse rates for the total portfolio of all Austrian Life insurance companies, 2012-2016
  • Publisher: Aktuarvereinigung Österreichs (AVÖ)
  • Creator: G. Friesacher, Th. Spanninger, R. Kainhofer Usage with the MortalityTables package:
mortalityTables.load("Austria_VUGesamtbestand_2012-16")
VU.Gesamtbestand
VU.Gesamtbestand.Storno
VU.Gesamtbestand.Detail
plotMortalityTables(VU.Gesamtbestand, legend.position = c(0.01, 0.99), legend.justification = c(0,1), title = "Austrian insurance portfolio moratlities 2012-16")

Source: G. Friesacher, Th. Spanninger, R. Kainhofer: Gesamtbestandstafel – Lebensversicherungsbestand in Österreich von 2012 bis 2016, Arbeitskreis Rechnungsgrundlagen, Aktuarvereinigung Österreichs (AVÖ), 24. Oktober 2019. https://avoe.at/referenzsterbetafel-und-stornovektor-des-gesamtbestands-2012-16/

1.4.2 Gesamtbestand (total portfolio) of Austrian Pension Funds (Pensionskassen) 2010–16

  • gender-specific experienc tables (period tables for 2010–16, central year 2013) for the four largest Austrian pension funds
    • mortalities and lapse rates
  • Experience mortality and lapse rates for the total portfolio of the four largest Austrian pension funds, 2010-2016
  • Publisher: Aktuarvereinigung Österreichs (AVÖ)
  • Creator: R. Kainhofer Usage with the MortalityTables package:
mortalityTables.load("Austria_PK-Bestand_2010-16")
PKBestandstafel.2010.16
plotMortalityTables(PKBestandstafel.2010.16[,,"qx", "raw"], legend.position = "right", title = "Austrian pension fund mortalities 2010-16", aes = aes(color = type)) +
  facet_grid(sex ~ .) + labs(color = "Collective")

2 Germany

Tables in use:

2.1 Annuities

2.1.1 Sterbetafel 1987 R

[TODO: Get table data!] * Source: Lühr, K.-H.: Neue Sterbetafeln für die Rentenversicherung, Blätter DGVM XVII (1986), 485–513. https://link.springer.com/article/10.1007/BF02808817

2.1.2 DAV 1994 R:

  • gender-specific tables, Base table 2000 with age-specific trends
    • male+female, ages 0-111
  • approximation using age-shifting is provided (central YOB 1955)
    • Usage with the MortalityTables package:
mortalityTables.load("Germany_Annuities_DAV1994R")
DAV1994R.male
DAV1994R.male.av
DAV1994R.female
DAV1994R.female.av

2.1.3 DAV 2004 R:

  • gender-specific tables, Base table 1999 with age-specific trends
    • male+female, ages 0-121
  • First- and Second-Order Tables are provided, as well as a reserving table for existing business (“Bestand” and “B20”)
  • Variants Aggregate and Select tables (5 years) are provided
  • Usage with the MortalityTables package: (only Aggregate tables)
mortalityTables.load("Germany_Annuities_DAV2004R")
DAV2004R.male
DAV2004R.male.2Ord
DAV2004R.male.av
DAV2004R.male.av.2Ord
DAV2004R.female
DAV2004R.female.2Ord
DAV2004R.female.av
DAV2004R.female.av.2Ord

2.1.4 Comparison

plotMortalityTables(
  DAV1994R.male, DAV1994R.female, 
  DAV2004R.male, DAV2004R.male.2Ord, 
  DAV2004R.female, DAV2004R.female.2Ord,
  
  Period = 2000, aes = aes(linetype = sex, color = interaction(year, data)), 
  legend.position = c(0.01, 0.99), legend.justification = c(0,1), legend.key.width = unit(2, "lines"),
  title = "Comparison of German Annuity Tables, Period 2000"
) + labs(linetype = NULL, color = NULL)