IAALS: Linking Socioeconomic Characteristics to Policyholders’ Longevity and Liability Values in Weighted Mortality Models

In the first part of this webinar, we will analyze the effect of using weighted maximum likelihood estimation for survival models where the assigned weights depend on the sum assured – a common practice in life insurance to focus on the financial consequences of survivorship. In this context, we consider how these estimates may change when more granular mortality models are used that are based on the socioeconomic characteristics of policyholders. During the presentation, we will highlight several practical considerations for developing weighted models for liability estimation and discuss the impact of such approaches on annuity liabilities. To illustrate this, we will present results using a real-world insurance dataset providing survival information on individuals who purchased annuities between 2015 and 2022 in the Netherlands. The analysis will include a financial test of fit to evaluate the performance of models. In the second part of the webinar, we will discuss research findings on the potential influence of socioeconomic factors on annuitants' longevity, based on publicly available, area-level indicators. The analysis will present detailed results on variables that could be useful for modelling policyholder mortality in the Netherlands, and will compare these with the traditional approach of using age, gender and pension information as covariates.


Speaker: Andrey Ugarte Montero
Andrey Ugarte Montero is a postdoctoral researcher at the Research Center for Longevity Risk (RCLR) of the University of Amsterdam. He holds a master’s degree in Actuarial Science from the University of Lisbon in Portugal and a PhD in Actuarial Science from HEC Lausanne in Switzerland. His interests include actuarial modelling in life and health insurance and the financial consequences of longevity within an insurance context. He is also interested in the applications of machine learning and data science in the insurance sector. From December 2013 to August 2017, Andrey worked as an actuarial consultant for the firm EY (Ernst & Young) in Latin America. He’s also pursuing certification as an Associate/Fellow of the UK’s Institute and Faculty of Actuaries


Moderator: Ernst Visser
Ernst is a Dutch actuary working for KPMG Financial Risk Management in The Netherlands. He has a master degree in physics and a master degree in actuarial science. In 2025 Ernst obtained an MBA degree with a thesis investigating the potential for disruption in the insurance industry. Ernst is a fully qualified member of the Dutch actuarial society. He has Over 30 years experience in consulting in the insurance industry