Insights into recent Income Protection experience by cause of ......07/05/2013 1 Insights into...

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Insights into recent Income gProtection experienceby cause of sicknessDuncan Heald and Hannah CookCMI Income Protection Committee

Workshop E04Health and Care Conference 2013Celtic Manor, Newport

16 May 2013

E04: CMI Income Protection InvestigationOutline

• An update on the committee’s recent activity and future plans

A f i di id l IP i f t d t d• A summary of individual IP experience features and trends over 1991 to 2009

• Making the experience analysis more accessible: creation of a database, by cause of sickness, for practitioners to use

• Features of claim inceptions by cause of sickness

• Features of claim terminations by cause of sickness

• Insights into claim values by cause of sickness and implications for pricing and reserving.

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E04: CMI Income Protection InvestigationAgenda

• An update on the committee’s recent activity

E i lt d t b d th d l• Experience results database and methodology

• Individual IP claim inceptions experience– A summary of trends in experience over 1991 to 2009

– Features of claim inceptions experience by cause of sickness

• Individual IP claim terminations experienceA summary of trends in experience over 1991 to 2009– A summary of trends in experience over 1991 to 2009

– Features of claim terminations experience by cause of sickness

• Insights into claim values by cause of sickness

• Plans for future work and request for feedback.

316 May 2013

E04: CMI Income Protection Investigation

R t ti it d t tRecent activity and outputs

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CMI Income Protection CommitteeMembers

• Joan Coverson (Chair) Gen Re

• Hannah Cook L&G• Hannah Cook L&G

• Duncan Heald SCOR Global Life

• Andrew Keeling Unum

• Gerry Kennedy Southampton University

• James Needham Wesleyan

• David Wilkie InQA

• Neil Robjohns (Secretariat) Barnett Waddingham

• Mark Paulson (Secretariat) Barnett Waddingham

16 May 2013 5

CMI IP CommitteeRecent activity and outputs

• Graduations of the 1991-98 IIP, Male, Class 1 experience– CMI Working Papers 5, 6, 7 (Terminations) and 46, 47 (Inceptions)CMI Working Papers 5, 6, 7 (Terminations) and 46, 47 (Inceptions)

– Overview of IPM 1991-98: CMI Working Paper 48

• Reporting experience for 1991 – 2006 using IPM 1991-98– CMI Working Papers 59 (reference paper) and 60 (experience report)

– Improved reporting format using MS Office Excel spreadsheets

• Data Collection 2007 2008 and 2009 results issued to CMI member offices– 2007, 2008 and 2009 results issued to CMI member offices

– Collecting data for 2010 – 2012

• Current research and developments– Experience by cause of sickness (WP and database)

– Calculation tools for practitioners.616 May 2013

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E i lt d t bExperience results database and methodology

Experience results database and methodologyDatabases of IP experience by cause, 1991-2009

• Aiming to make the experience analysis more accessible for practitioners by releasing a database of low-level results p y g

• Claim inceptions experience database– Presented as a table in an Excel spreadsheet

– Data row for each combination of attributes,

• Year (19), sex (2), occupation class (5), deferred period (5), age group (10)

– Data items provide summary totals of experience for each row

• Exposure actual (A) (split into 15 cause groups) and expected (E) claims• Exposure, actual (A) (split into 15 cause groups), and expected (E) claims

• Claim terminations experience database– Attributes extended to include duration sick (14) and cause group (15)

– Row totals for A and E are split by type: recovery or death.[Figures in brackets are the number of categories for each attribute.]

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Experience results database and methodologyGrouping of causes of sickness

0 2 500 5 000 7 500 10 000

Total numbers of claim events by cause-of-sickness category, 1991-20097 largest categories are represented throughout this presentation by colours shown

0 2,500 5,000 7,500 10,000

Infections (A01)Neoplasms (A02)

Endocrine and metabolic (A03)Mental Illness (A04)

Nervous system and sensory organs (A05)Circulatory (A06)

Acute respiratory (A07)Other respiratory (A08)

Digestive (non-infectious) (A09)Genito-urinary (A10)

Arthritis (A11)Musculoskeletal (A12)

Injuries (A13)Other known causes (A14)

Unknown causes (A15)

Inceptions Terminations16 May 2013 9

Experience results database and methodologyFeatures of IPM 1991-98

• IPM 1991-98 has been used as the comparison basis (for E)

• Underlying dataset:Underlying dataset: – CMI Individual IP, Standard* data, Males, CMI Occ Class 1, 1991-98

– No adjustments made for females or other occupation classes so differences in A/E directly represent differences in observed claim rates

– Aggregate causes / all-cause rates

• Claims Inceptions – rates vary with age and DP– Separate basis for each DPSeparate basis for each DP

• Claimant Recoveries – rates vary with duration sick, age and DP– Single ‘shape’ but different levels / multipliers for each DP

• Claimant Deaths – vary with duration sick, age, DP– Single ‘shape’ but different level / multiplier for DP1.

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I di id l IP i 1991 2009Individual IP experience 1991-2009:

Claim Inceptions

Claim inceptions experience, 1991 – 2009 Data volumes for claim inceptions analysis

7004 500

Average annual Individual IP claim inception counts, by quadrenniumActual (by DP) and expected (total) claim inceptions (exD); exposure (cumD)

300

400

500

600

700

1 500

2,000

2,500

3,000

3,500

4,000

4,500

po

sure

(cu

mD

)ye

ars,

th

ou

san

ds)

Ince

pti

on

s (e

xD)

DP,

an

d t

ota

l ex

pec

ted

DP52

DP26

DP13

DP4

DP1

Expected

0

100

200

0

500

1,000

1,500

1991-94 1995-98 1999-02 2003-06 2007-09

Exp

(Lif

e

Cla

im

Act

ua

l, b

y D

Quadrennium

Expected

Exposure

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Claim inceptions experience, 1991 – 2009 Experience by sex, age and cause of sickness

Comparison of actual claim inceptions with those expected using IPM 1991-98 Individual IP Standard* experience by sex, age band and cause group

All years (1991-2009), Occupation Classes and DPs combined

Males Females

80%

100%

120%

140%

160%

180%

sin

g IP

M 1

991-

98

80%

100%

120%

140%

160%

180%

Other

A13: Injuries

A12: Musculoskeletal

A07: Acute respiratory

A06: Circulatory

A04: Mental Illness

A02: Neoplasms

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0%

20%

40%

60%

A/E

us

0%

20%

40%

60% A01: Infections

Individual IP experience: Trends over 1991 – 2009Claim Inceptions by sex and DP

Comparison of actual claim inceptions with those expected using IPM 1991-98 Individual IP Standard* experience for all CMI Occupation Classes

1991-2009 by quadrennium sex and DP; all ages combined1991 2009 by quadrennium, sex and DP; all ages combined

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Features of claim inceptions experience, 1991 – 2009Ratios of claim inception rates by sex and Occ Class

Female:Male ratio of Inception Rates IIP Standard* experience for

CMI Occ Class 1; all ages combinedCMI Occ Class 1; all ages combined

1.0

1.5

2.0

2.5

3.0

Rat

io F

:M R

atio

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0.0

0.5

91-94 95-98 99-02 03-06 07-09

DP1 DP4 DP13 DP26 DP52

Claim inceptions experience, 1991 – 2009 Experience by sex, DP and cause of sickness

Comparison of actual claim inceptions with those expected using IPM 1991-98 Individual IP Standard* experience by sex, DP and cause group All years (1991-2009), ages and Occupation Classes combined

100%

120%

140%

160%

180%

200%

Females

100%

120%

140%

160%

180%

200%

g IP

M 1

991-

98

Males

Other

A13: Injuries



A06: Circulatory

A04: Mental Illness

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0%

20%

40%

60%

80%

DP01 DP04 DP13 DP26 DP520%

20%

40%

60%

80%


A/E

usi

ng

A02: Neoplasms

A01: Infections

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Individual IP experience: Trends over 1991 – 2009Claim Inceptions by sex and Occupation Class

Comparison of actual claim inceptions with those expected using IPM 1991-98 Individual IP Standard* experience for all DPs combined

1991-2009 by quadrennium sex and Occupation Class; all ages combined1991 2009 by quadrennium, sex and Occupation Class; all ages combined

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Claim inceptions experience, 1991 – 2009 Experience by sex, Occ Class and cause of sickness

Comparison of actual claim inceptions with those expected using IPM 1991-98 Individual IP Standard* experience by sex, Occupation Class and cause group All years (1991-2009), ages and DPs combined; Occ Class unknown excluded

Males Females

80%

100%

120%

140%

160%

180%

ng

IPM

199

1-98

Males

80%

100%

120%

140%

160%

180%

Females

Other

A13: Injuries



A06: Circulatory

A04: Mental Illness

A02: Neoplasms

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0%

20%

40%

60%

OC 1 OC 2 OC 3 OC 4

A/E

usi

n

0%

20%

40%

60%

OC 1 OC 2 OC 3 OC 4

A01: Infections

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Features of claim inceptions experience, 1991 – 2009Ratios of claim inception rates by sex and Occ Class

Ratio of Inception Rates by ClassIIP Standard* experience for

Males; DP4 (DPs 4 52 dotted); all agesMales; DP4 (DPs 4-52 dotted); all ages

1.0

1.5

2.0

2.5

3.0

3.5

tio

Cla

ss N

:Cla

ss 1

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0.0

0.5

91-94 95-98 99-02 03-06 07-09

Rat

Class 1 Class 2 Class 3 Class 42 (4-52) 3 (4-52) 4 (4-52)

Features of claim inceptions experience, 1991-2009 Narrowing of the gender differential

Female:Male ratio of Inception Rates for IIP Standard* experience for DP 11991-2009 by quadrennium and cause; all ages and Occupation Classes combined

Female / Male - DP 1 - All Occupation Classes

100%

150%

200%

250%

300%

Rat

io

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0%

50%

91-94 95-98 99-02 03-06 07-09

A01: Infections A02: Neoplasms A04: Mental Illness

A06: Circulatory A07: Acute respiratory A12: Musculoskeletal

A13: Injuries Other All

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Features of claim inceptions experience, 1991-2009 Narrowing of the gender differential

Female:Male ratio of Inception Rates for IIP Standard* experience for DP 4 – 52 1991-2009 by quadrennium and cause; all ages and Occupation Classes combined

Female / Male - DP4-52 - All Occupation Classes

100%

150%

200%

250%

300%

350%

400%

450%

Rat

io

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0%

50%

91-94 95-98 99-02 03-06 07-09

All Other A12: Musculoskeletal

A04: Mental Illness A13: Injuries A06: Circulatory

A02: Neoplasms A01: Infections A07: Acute respiratory

Features of claim inceptions experience, 1991-2009 Reduced differentials between Occupation Classes

Comparison of actual claim inceptions with those expected using IPM 1991-98Individual IP Standard* experience by Occupation Class for males

Selected cause groups only; 1991-2009 by quadrennium; all ages and DPs combined

40%

50%

60%

70%

80%

90%

100%

ng

IPM

199

1-98

Musculoskeletal - Males

40%

50%

60%

70%

80%

90%

100%

Injuries - Males

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0%

10%

20%

30%

40%

Occ Class 1 Occ Class 2 Occ Class 3 Occ Class 4

A/E

usi

n

91-94 95-98 99-02 03-06 07-09

0%

10%

20%

30%

Occ Class 1 Occ Class 2 Occ Class 3 Occ Class 4

91-94 95-98 99-02 03-06 07-09

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I di id l IP i 1991 2009Individual IP experience 1991-2009:

Claim Terminations

Claim terminations experience, 1991 – 2009Data volumes for claim terminations analysis

12 04 000

Average annual Individual IP claim termination counts, by quadrenniumActual (by DP) and expected (total) claim terminations (exD); exposure (exD)

4 0

6.0

8.0

10.0

12.0

1,500

2,000

2,500

3,000

3,500

4,000

xpo

sure

(ex

D)

s in

cla

im,

tho

usa

nd

s)

Term

inat

ion

s (e

xD)

DP,

an

d t

ota

l ex

pec

ted

Deaths

Rec DP52

Rec DP26

Rec DP13

Rec DP4

Rec DP1

0.0

2.0

4.0

0

500

1,000

1991-94 1995-98 1999-02 2003-06 2007-09

Ex

(Lif

e ye

ars

Cla

im T

Act

ua

l, b

y D

Quadrennium

Expected

Exposure

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Claimant recoveries experience, 1991 – 2009 Expected recoveries by cause and duration sick

Count of expected claimant recoveries using actual claims in payment and all-cause recovery rates from IPM 1991-98, by duration sick, cause of sickness and sex

All years (1991-2009), ages, DPs and Occupation Classes combined

7000

8000

ount)

98

Males

0

1000

2000

3000

4000

5000

6000

days 7‐14 week 03 week 04 weeks 05‐08

weeks 09‐13

weeks 14‐17

weeks 18‐26

weeks 27‐30

weeks 31‐39

weeks 40‐52

weeks 53‐104

years 03‐05 years 06‐11 years 12‐98

Claim

s Exposure (co

using IPM 1991‐9

1400

1600

1800

ount)

98

Females

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0

200

400

600

800

1000

1200

1400

days 7‐14 week 03 week 04 weeks 05‐08

weeks 09‐13

weeks 14‐17

weeks 18‐26

weeks 27‐30

weeks 31‐39

weeks 40‐52

weeks 53‐104

years 03‐05 years 06‐11 years 12‐98

Claim

s Exposure (co

using IPM 1991‐

Claimant recoveries experience, 1991 – 2009 Experience for males, by duration sick

Comparison of claimant recoveries with those expected using IPM 1991-98 Individual IP Standard* experience for 1991-2009 for males by duration sick and quadrennium

All DPs Occupation Classes and ages combined

50

100

150

200

250

A/E

usi

ng

IP

M 1

991-

98

All DPs, Occupation Classes and ages combined

0

1-2

wks

2-3

wks

3-4

wks

4-8

wks

8-13

wks

13-1

7 w

ks

17-2

6 w

ks

26-3

0 w

ks

30-3

9 w

ks

39-5

2 w

ks

1-2

yrs

2-5

yrs

5-11

yrs

11+

yrs10

0

Duration Sick

91-94 95-98 99-02 03-06 07-09

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Claimant recoveries experience, 1991 – 2009Experience by sex, duration and cause of sickness

Comparison of actual claimant recoveries with those expected using IPM 1991-98 Individual IP Standard* experience by sex, duration sick and cause group

All years (1991-2009), ages, DPs and Occupation Classes combined300%

Males300%

Females

100%

150%

200%

250%

A/E Using IPM 1991‐98

100%

150%

200%

250%

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Aaaaaaaaaaaaaaaaaaaaaaaaaaa


0%

50%

0%

50%

Data Points where Actual Recoveries < 10 are excluded

Claimant recoveries experience, 1991 – 2009Experience by sex, age and cause of sickness

Comparison of actual claimant recoveries with those expected using IPM 1991-98 Individual IP Standard* experience by sex, age band and cause group

All years (1991-2009), DPs, Occupation Classes and durations sick combined300%

Males 300%Females

100%

150%

200%

250%

E Using IPM 1991‐98

100%

150%

200%

250%

Females

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0%

50%

100%

17‐19 20‐24 25‐29 30‐34 35‐39 40‐44 45‐49 50‐54 55‐59 60‐64

A/E

0%

50%

100%

17‐19 20‐24 25‐29 30‐34 35‐39 40‐44 45‐49 50‐54 55‐59 60‐64

Data Points where Actual Recoveries < 10 are excluded

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Claimant recoveries experience, 1991 – 2009Trends over 1991 – 2009 by sex and DP

Comparison of claimant recoveries with those expected using IPM 1991-98Individual IP Standard* experience for CMI Occupation Class 1

1991-2009 by quadrennium, sex and DP; all ages and durations sick combined1991 2009 by quadrennium, sex and DP; all ages and durations sick combined

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Claimant recoveries experience, 1991 – 2009Experience by sex, DP and cause of sickness

Comparison of actual claimant recoveries with those expected using IPM 1991-98 Individual IP Standard* experience by sex, DP and cause group

All years (1991-2009), ages, Occupation Classes and durations sick combined300%

Males300%

Females

100%

150%

200%

250%

PM 1991‐98

Males

100%

150%

200%

250%

Females

3016 May 2013


Aaaaaaaaaaaaaaaaaaaaaaaaaaa Data Points where Actual Recoveries < 10 are excluded

0%

50%

100%


A/E Using IP

0%

50%

100%


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Claimant recoveries experience, 1991 – 2009Trends over 1991 – 2009 by sex and Occupation Class

Comparison of claimant recoveries with those expected using IPM 1991-98Individual IP Standard* experience for all DPs combined

1991-2009 by quadrennium, sex and OC; all ages and durations sick combined1991 2009 by quadrennium, sex and OC; all ages and durations sick combined

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Claimant recoveries experience, 1991 – 2009Experience by sex, Occ Class and cause of sickness

Comparison of actual claimant recoveries with those expected using IPM 1991-98 Individual IP Standard* experience by sex, Occ Class and cause group

All years (1991-2009), ages, DPs and durations sick combined200%

Males200%

Female

60%

80%

100%

120%

140%

160%

180%

/E Using IPM 1991‐98

60%

80%

100%

120%

140%

160%

180%

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0%

20%

40%

60%

OC 1 OC 2 OC 3 OC 4

A/

0%

20%

40%

60%

OC 1 OC 2 OC 3 OC 4

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Claimant recoveries experience, 1991 – 2009Experience for DP 1 by sex, quad and cause

Comparison of actual claimant recoveries with those expected using IPM 1991-98 Individual IP Standard* experience for DP 1 by sex, quadrennium and cause group

All ages, Occupation Classes and durations sick combined250%

Males250%

Females

100%

150%

200%

E Using IPM 1991‐98

Males

100%

150%

200%

Females

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0%

50%

91‐94 95‐98 99‐02 03‐06 07‐09

A/E

0%

50%

91‐94 95‐98 99‐02 03‐06 07‐09

Claimant recoveries experience, 1991 – 2009Experience for DPs 4 – 52 by sex, quad and causeComparison of actual claimant recoveries with those expected using IPM 1991-98

Individual IP Standard* experience for DPs 4 – 52 by sex, quadrennium and cause groupAll ages, Occupation Classes and durations sick combined

250%Males

250%Females

100%

150%

200%

/E Using IPM 1991‐98

Males

100%

150%

200%

Females

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0%

50%

91‐94 95‐98 99‐02 03‐06 07‐09

A/

0%

50%

91‐94 95‐98 99‐02 03‐06 07‐09

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Claimant deaths experience, 1991 – 2009Trends over 1991 – 2009 by sex and DP

Comparison of actual claimant deaths with those expected using IPM 1991-98 Individual IP Standard* experience for CMI Occupation Class 1

1991-2009 by quadrennium sex and DP; all ages and durations sick combined1991 2009 by quadrennium, sex and DP; all ages and durations sick combined

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Claimant deaths experience, 1991 – 2009Experience by sex, duration and cause of sickness

Comparison of actual claimant deaths with those expected using IPM 1991-98 Individual IP Standard* experience by sex, duration sick and cause group

All years (1991-2009), ages, DPs and Occupation Classes combined800%

Females800%

Males

200%

300%

400%

500%

600%

700%

200%

300%

400%

500%

600%

700%

A/E

usi

ng

IP

M 1

991-

98

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0%

100%

0%

100%

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I i ht i t l i lInsights into claim valuesby cause of sickness

© 2010 The Actuarial Profession www.actuaries.org.uk

Insights into claim values by cause of sicknessRationale and methodology

• Examining the distribution of claims and experience by cause of sickness only gives parts of the picturey g p p

• It is helpful also to consider:– Claim annuity values by cause of sickness– The contribution of each cause group to total claim costs

• Graduations of claim terminations experience by cause of sickness were published by SY Ling et al

– Modelling IP Claim Termination Rates by Cause of Sickness – Ling, Waters, Wilkie – AAS 4 (II) 2009

• The following sample table combines:– CMI IIP claim inceptions expce by cause, 1991-2009, Occ Class 1– Sample annuity values by cause presented in SY Ling et al

• Modelled on CMI IIP data for 1975-2002, Occ Class 1 (or equiv)• Time trend modelled; values calculated using rates as at 2002

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Insights into claim values by cause of sicknessSample components of claim values by cause group

Cause ofSickness

Male, Age 40, DP 1 Female, Age 40, DP26

% by incidence

% byvalue

% by incidence

% byvalue

A01: Infections 12.6% 2.8% 1.4% 1.8%

A02: Neoplasms 1.1% 2.1% 19.5% 9.3%

A04: Mental Illness 6.8% 30.8% 38.9% 42.3%

A06: Circulatory 3.7% 8.8% 2.7% 3.4%

A07: Acute Respiratory 24.3% 0.9% 0.5% 0.3%

A12: Musculo-skeletal 19.7% 20.7% 13.6% 15.2%

A13: Injuries 10.6% 6.5% 4.8% 3.7%

All other causes 21.3% 27.4% 18.7% 24.0%

Total 100% 100% 100% 100%

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F t lFuture plans and request for feedback

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CMI IP CommitteeIP experience by cause of sickness, 1991-2009

• Complete and release current research

CMI Working Paper• CMI Working Paper– Summary of data and methodology

– High-level analysis of experience by cause of sickness

– Overview of previous work on experience by cause of sickness

– Sample breakdown of typical claim annuity values by cause of sickness

• Databases of IP experience by cause of sickness, 1991-2009y– Low-level results in database format

• Separate tables for Inceptions and Terminations, in Excel spreadsheets

– Enable practitioners to pursue analysis in areas of interest to them

• Enable multi-dimensional analysis / modelling of experience

4116 May 2013

CMI IP CommitteeFuture plans and request for feedback• Complete and release current research and developments

– Experience by cause of sickness (Working Paper and database)Experience by cause of sickness (Working Paper and database)

– Rate calculation tools for practitioners

• Data collection for 2010 to 2012

– Hope to complete All Office results for 2010 and 2011 this year …

– …and to analyse experience of the 2007-10 quadrennium next year

• Improving data quality and volumes• Improving data quality and volumes

• Considering further graduations work in 2014+

– Incorporate variation by sex and Occupation Class?

– 2003 – 2010 dataset?

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Questions Comments

Expressions of individual views by members of the Institute and Faculty of Actuaries and its staff are encouraged.

16 May 2013 43

of Actuaries and its staff are encouraged.

The views expressed in this presentation are those of the presenter.

Thank you for your attention

CMI Income Protection Committeehttp://www.actuaries.org.uk/research-and-resources/pages/income-protection-investigation

Disclaimer and statutory information

• Disclaimer: This document has been prepared by and/or on behalf of Continuous Mortality Investigation Limited (CMI). This document does not

tit t d i d h ld t b li d h Whil hconstitute advice and should not be relied upon as such. While care has been taken to ensure that it is accurate, up-to-date and useful, CMI will not accept any legal liability in relation to its contents.

• Continuous Mortality Investigation Limited is a company limited by shares and wholly owned by the Institute and Faculty of Actuaries. It is registered in England & Wales (Company number: 8373631) with its Registered Office at: Staple Inn Hall, High Holborn, London, WC1V 7QJ.

© 2013 Continuous Mortality Investigation Limited.

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