The Saint model : a decade later

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<title>Saint model</title>
<subTitle>: a decade later</subTitle>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20220005296">
<namePart>Jarner, Søren F.</namePart>
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<namePart>Jallbjorn, Snorre</namePart>
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<abstract displayLabel="Summary">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.

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<accessCondition type="use and reproduction">La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY NC SA 4.0)"</accessCondition>
<note type="statement of responsibility">Søren F. Jarner, Snorre Jallbjorn</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080586447">
<topic>Modelo estocástico</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555306">
<topic>Mortalidad</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20100065273">
<topic>Modelo Lee-Carter</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
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<text>09/05/2022 Volumen 52 Número 2 - mayo 2022 , p. 483-517</text>
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