Extension, Compression, and Beyond: A Unique Classification System for Mortality Evolution Patterns.

A variety of literature addresses the question of how the age distribution of deaths changes over time as life expectancy increases. However, corresponding terms such as extension, compression, or rectangularization are sometimes defined only vaguely, and statistics used to detect certain scenarios can be misleading. The matter is further complicated because mixed scenarios can prevail, and the considered age range can have an impact on observed mortality patterns.

Evaluating Life Expectancy Evaluations.

The quality of life expectancy estimates is one key consideration for an investor in life settlements. The predominant metric for assessing this quality is the so-called , which relies on a comparison of the actual to the predicted number of deaths. In this article, we explain key issues with this metric: In the short run, it is subject to estimation uncertainty for small and moderately sized portfolios; and, more critically, in the long run, it converges to 100% even if the underwriting is systematically biased.