CMI proposes new mortality projections to reflect pandemic and age range experience
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The Continuous Mortality Investigation is proposing “significant structural changes” to its annual update to the CMI Mortality Projections Model. The CMI is seeking views from its subscribers by 25 March, hoping to provide an update on its plans for CMI_2024 in April this year.
CMI_2024 is due out in the second quarter of 2025, and the CMI has said it wants to make some changes to the next iteration, by including the impact of the pandemic and taking into account the mortality experience of different age groups.
“For the core version of the model, those changes would lead to cohort life expectancies at age 65 that are about five weeks higher for males and about one week lower for females than in the current version of the CMI Model, CMI_2023,” the CMI said.
Cobus Daneel, who chairs the CMI Mortality Projections Committee, said: “The Covid-19 pandemic was challenging for all mortality projection models. It was uncertain how mortality rates would react beyond the initial shock and the CMI took a pragmatic approach, avoiding material revisions in projected life expectancies until a clearer picture emerged.”
He said now that mortality at pensioner ages is closer to pre-pandemic levels, there is an opportunity to improve the CMI Model.
“We recognise that different users of the model have different views. The CMI Model provides a framework for them to adjust parameters to reflect their own portfolios and views on the impact of the pandemic, and to communicate those to others,” Daneel added.
Until now, the CMI dealt with the mortality experience of the pandemic years 2020 and 2021 by excluding those years when calibrating the CMI Model and fitting a smooth trend to other years, as the two years were thought likely to be outliers.
“This worked well in the early stages of the pandemic. However, five years on, a better approach is possible now that we have a clearer picture of how mortality has developed,” the CMI said.
Under the new approach, the CMI Model would include a mortality shock in 2020, with the impact reducing in each successive year.
A further change would allow the model to adapt to situations where different trends in mortality emerge at different ages.
“The structure of the current version of the model, CMI_2023, leads to similar changes in mortality trends over time at all ages. However, this has not been seen in practice in recent years,” the CMI said.
Mortality experience at different ages has changed. For example, mortality in 2024 for ages 75-100 was lower than in any other year, but for ages 20-44, it was “materially higher” than before the pandemic, the CMI noted.
The CMI’s model is used by pension schemes, insurers and reinsurers, both in the UK and internationally, which need to make assumptions about future mortality rates.
CMI_2024 is due out in the second quarter of 2025, and the CMI has said it wants to make some changes to the next iteration, by including the impact of the pandemic and taking into account the mortality experience of different age groups.
“For the core version of the model, those changes would lead to cohort life expectancies at age 65 that are about five weeks higher for males and about one week lower for females than in the current version of the CMI Model, CMI_2023,” the CMI said.
Cobus Daneel, who chairs the CMI Mortality Projections Committee, said: “The Covid-19 pandemic was challenging for all mortality projection models. It was uncertain how mortality rates would react beyond the initial shock and the CMI took a pragmatic approach, avoiding material revisions in projected life expectancies until a clearer picture emerged.”
He said now that mortality at pensioner ages is closer to pre-pandemic levels, there is an opportunity to improve the CMI Model.
“We recognise that different users of the model have different views. The CMI Model provides a framework for them to adjust parameters to reflect their own portfolios and views on the impact of the pandemic, and to communicate those to others,” Daneel added.
Until now, the CMI dealt with the mortality experience of the pandemic years 2020 and 2021 by excluding those years when calibrating the CMI Model and fitting a smooth trend to other years, as the two years were thought likely to be outliers.
“This worked well in the early stages of the pandemic. However, five years on, a better approach is possible now that we have a clearer picture of how mortality has developed,” the CMI said.
Under the new approach, the CMI Model would include a mortality shock in 2020, with the impact reducing in each successive year.
A further change would allow the model to adapt to situations where different trends in mortality emerge at different ages.
“The structure of the current version of the model, CMI_2023, leads to similar changes in mortality trends over time at all ages. However, this has not been seen in practice in recent years,” the CMI said.
Mortality experience at different ages has changed. For example, mortality in 2024 for ages 75-100 was lower than in any other year, but for ages 20-44, it was “materially higher” than before the pandemic, the CMI noted.
The CMI’s model is used by pension schemes, insurers and reinsurers, both in the UK and internationally, which need to make assumptions about future mortality rates.
