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

• Sources:
  • R. Kainhofer, M. Predota, U. Schmock: The New Austrian Annuity Valuation Table AVÖ 2005R, Mitteilungen der Aktuarvereinigung Österreichs, Heft 13, pp.55–135, http://avoe.at/pdf/mitteilungen/H13_w3.pdf
  • Aktuarvereinigung Österreichs: [Konstruktion der Unisex-Rententafel AVÖ 2005 R unisex](https://avoe.at/rententafel-avoe-2005r-unisex/, 2012
  • R. Kainhofer: [Zur Angemessenheit der Rententafel AVÖ 2005-R](https://avoe.at/zur-angemessenheit-der-rententafel-avoe-2005-r/, Arbeitskreis Rechnungsgrundlagen, Aktuarvereinigung Österreichs (AVÖ), 24.Oktober 2019

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 ~ .)

1.2.0.1 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   ?    ?

• Source: Statistik Austria, http://statistik.at/wcm/idc/idcplg?IdcService=GET_NATIVE_FILE&RevisionSelectionMethod=LatestReleased&dDocName=022541

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
#> 
#> Attaching package: 'reshape2'
#> The following object is masked from 'package:tidyr':
#> 
#>     smiths
#> Loading required package: pracma
#> 
#> Attaching package: 'pracma'
#> The following object is masked from 'package:purrr':
#> 
#>     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

1.3.1 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)

1.4.1 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")

2.1.1 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

• Source: Deutsche Aktuarvereinigung (DAV), https://aktuar.de/unsere-themen/lebensversicherung/sterbetafeln/UT_LV_5.pdf
• Source: Schmithals B. und Schütz E. U. (1995): “Herleitung der DAV-Sterbetafel 1994 R für Rentenversicherungen”, Blätter der Deutschen Gesellschaft für Versicherungsmathematik, Band XXII, Heft 1

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

• Source: Deutsche Aktuarvereinigung (DAV), https://aktuar.de/unsere-themen/lebensversicherung/sterbetafeln/2018-01-24_DAV-Richtlinie_Herleitung_DAV2004R.pdf

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)