Research


Research Projects

Developing research materials is one of the CIA’s fundamental activities. Thought-provoking and leading-edge research helps expand the boundaries of the profession, advances knowledge on emerging issues, lines of business, and practice areas, and aligns with the Institute’s strategic priorities. Periodic experience studies gather industry data that provide benchmarks for comparison and help to establish market trends that assist actuaries in their work. CIA research provides a unique Canadian perspective, in both official languages.

Current Projects by Line of Business and Practice Area

Actuarial Evidence
 Project  Description  Status
Impact of Disability on Earnings This first study of its kind examines the impact of different levels of disability on future earnings. Active
Longevity of Infrastructures and Buildings   

This project is studying a broad range of parameters that are essential to the estimate of the repair/replacement cost of different parts of the condo infrastructure.

Active 
Enterprise Risk Management (ERM)
 Project  Description  Status
14th Survey of Emerging Risks

This is an annual project that tracks the trends and thoughts of risk managers across time.

Active
Group
 Project  Description  Status
Canadian Insurance Industry Monthly Aggregate Data Analysis

To calibrate the extra mortality resulting from COVID-19, aggregated data is collected monthly from individual and group life insurers in Canada. The data collected from the companies (13 companies contribute individual data and 11 of the companies also provide group data) is focused on the number and amount of all death claims as well as the number and amount of death claims with COVID-19 as cause of death. From the aggregate results, we will be able to determine the excess claims incurred by month starting in March 2020 and compare these to the claims where the cause of death reported was COVID-19. 

Active
Individual Annuity
 Project  Description  Status
Drawdown-Based Fee Structure for Variable Annuities

Aims to develop a novel fee structure for variable annuities utilizing the drawdown measure, and demonstrate its effectiveness to address ongoing issues with standard variable annuity products.

Active

Investment
 Project  Description  Status

Impact of Population Aging on Asset Values

Explore the impact of population aging on economic variables. Active (joint project: CIA/SOA/IFoA)
Life
 Project  Description  Status
A Holistic Approach to Hedging Optimization and Capital Requirements Calculation for Segregated Funds Insurers issuing segregated funds policies apply dynamic hedging schemes to mitigate the risk associated with implicit options embedded in such policies. The design of the hedging strategy for segregated funds is very complex due to exposure to a wide array of interrelated risks.

The main objective of the current research project is to design a holistic hedging scheme which is sufficiently flexible to apply to various guarantee specifications and underlying mutual fund types. It will incorporate many risks such as equity risk, interest rate term structure risk, policyholder behaviour risk, mortality risk, basis risk, and model risk.

Active
Individual Life Mortality Study – annual and quarterly

This study will result in the 70th annual report of the intercompany mortality experience for Canadian standard ordinary life insurance policies. It will cover the one-year period between policy anniversaries in 2018 and 2019. This will be the first study to collect data quarterly as well as annually. The quarterly study is focused especially on an early warning of the impact of COVID-19 on life companies. 

Active 
Term to 100 and UL LCOI Lapse Experience Studies Research

This will be the seventh study of T100 lapses and the fourth for UL level cost of insurance. The focus of the study is to assess the impact on lapses rates, particularly at high durations, of structuring policies on lapse support. The study will cover experience during the calendar years 2013–2019.

Active 
Common Mortality Index

This project proposes a general framework that describes a bivariate-population mortality system which allows two populations at disparate development stages to be explicitly considered through an underlying process of common mortality trend (CMT). As one significant application, also one of the main contributions of the project, the bivariate-population CMT model is used as the basic learner in a computationally friendly framework to effectively borrow information from multiple populations for the mortality prediction of a target population. The framework is based on an innovative idea of model average. Extensive experiments with the Human Mortality Database (HMD) confirm that the newly proposed CMT-based prediction method yields a significant improvement in the prediction performance compared with a set of benchmark prediction models. 

Active 
Canadian Insurance Industry Monthly Aggregate Data Analysis

To calibrate the extra mortality resulting from COVID-19, aggregated data is collected monthly from individual and group life insurers in Canada. The data collected from the companies (13 companies contribute individual data and 11 of the companies also provide group data) is focused on the number and amount of all death claims as well as the number and amount of death claims with COVID-19 as cause of death. From the aggregate results, we will be able to determine the excess claims incurred by month starting in March 2020 and compare these to the claims where the cause of death reported was COVID-19. 

Active
Mortality Improvement

Mortality improvement (MI) assumptions are used by actuaries across all areas of practice. Historically, each practice area has developed its own guidance in Canada. The project aims to develop consistent guidance for MI assumptions that will be adopted by different practice areas. 

Preliminary 
Living Benefits
 Project  Description  Status
   
P&C
 Project  Description  Status
Ontario Accident Benefits for Long-Term Disability Describes how differences in the Ontario Statutory Accident Benefits Statistical Plan legislation were treated; comments on legislative impact on LTD termination rates and annuity factor evaluation; and reviews the Ontario automobile LTD experience from 1994–2012. Active
Efficient and Robust Maximum Likelihood Estimation of the Pareto Tail Index In actuarial science, the Pareto distribution is a useful tool for modelling loss in insurance applications, in particular for the riskier types of insurance with extreme losses such as medical malpractice insurance. Estimation of the shape parameter of the Pareto distribution, also known as Pareto tail index, is a crucial step for the actuary. The goal of the current project is to design a new estimator of the Pareto tail index that makes practically no compromises between efficiency and robustness. Active
Risk measure based projected precipitation impacted by climate change for underlying insurable natural catastrophes 

The project investigates the combination of measures of extreme value theory to project the behavior of rainfall through time. The project uses precipitation projections from 2006 to 2017 generated to train a model which is used to project rainfall until 2100. From this, the project studies the expected change in behavior of extreme rainfall. These projections affect insurable risks such as floods and droughts and can be combined with damage curves to project claims. 

Active 
Transformation Forests for Auto Insurance Risk Modeling 

This project proposes an innovative distributional forest estimating the whole (conditional) probability distribution of the insurance claim variable, by which the calculation of various risk measures, such as variance and value-at-risk of future claim costs, is straightforward. The proposed distributional forests are made up of flexible, parametric models, which make them not only capable of capturing complicated dependency structures of the data, but also easy to interpret and perform sensitivity analysis with. Insurance data on both the individual and the company level will be used to illustrate application of the proposed approach.

Active 
Predictive Analytics in the Canadian P&C Insurance Industry 

The purpose of this study is to investigate and benchmark how the Canadian P&C insurance industry is utilizing Predictive Analytics, Machine Learning and AI, and examine potential areas for enhancement. 

Preliminary 
Pricing and diversification of flood risk in Canada 

The aim of the research project is to determine how to diversify flood risk in Canada and to measure if any lack of diversification needs to be accounted for into the premiums and reserves. Another key objective of the project is to determine the impacts of climate change on the viability of flood insurance in Canada. To attain these objectives, the researchers designed a Canadian occurrence-impact flood model over thousands of watersheds where they use a combination of climate and statistical models to model fluvial flood risk.

Active 
Pension/Group Annuity
 Project  Description  Status
Impact of Longevity Provision on Canadian Retirement Income Planning An academic study that examines how the provision of longevity annuities can impact retirement planning based on Canadian-specific assumptions, to help individuals plan their retirement income and usage of annuities. Active
Impact of Population Aging on Asset Values Explores the impact of population aging on economic variables. Active (joint project: CIA/SOA/IFoA)
Modern Metrics for Intergenerational Equity in Occupational Pensions Intergenerational equity has long been an important consideration in the management of social security programs and blocks of annuity business but received relatively little attention in the occupational pension sphere until recently.

Proper dialogue around intergenerational equity is severely hindered by three factors: (1) the lack of uniform definitions and language, (2) practitioners’ lack of familiarity with existing metrics for intergenerational equity, and (3) limited availability of modern, forward-looking metrics. The objective of the current project is to catalogue relevant definitions of intergenerational equity, identify existing metrics, and develop new ones suitable for occupational pensions in stochastic applications.

Active
Longevity and Mortality Hedging A study of the effectiveness of longevity- and mortality-linked financial derivatives as hedging instruments in a pension risk management strategy. This project should contribute to the development of capital market solutions in the mitigation of longevity or mortality risk, from an academic and scientific point of view. Active
Pensions and Low Interest Rates ­ An assessment of the impact of a persistent low interest rate environment on the Canadian retirement system. This project would evaluate how the long-term low interest rate scenario affects each type of retirement income security.    Active
The Alone Stage of Retirement Describes the financial and social issues likely to be faced by many Canadians in the alone stage of retirement, offers ideas to address these issues, and provides some analysis regarding the likely cost and effectiveness of such ideas Active (joint project: CIA/SOA)
Longevity and Morbidity Risk II Model, measure, and manage longevity and morbidity. Application driven, with impact and innovation in the pension and insurance industries from a global perspective. Active (joint project: CIA/SOA/IFoA)
Impact of Low Interest Rate Environment on Canadian Retirement Income Programs 

This project focuses on the prospect of a prolonged low interest rate environment potentially arising on account of structural changes in the economy driven by demographic factors. In addition to a review of existing literature, it also provides a snapshot of current economic thinking around these issues at large pension organizations and selected actuarial service providers. 

Active 
Longevity and Mortality Hedging 

The goal of this project is to establish a set of longevity/mortality indexes that would be useful for the hedgers and that would be transparent and liquid enough to interest capital market participants, beyond (re-) insurance companies, to earn a premium for providing the hedge. The development of that market hinges precisely on the two competing requirements of devising a small set of transparent indexes which are yet varied enough so that hedging does not entail too much population basis risk. 

Active 
Quantifying the Welfare Impacts of Pension Mergers 

The goal of this research project is to add a quantitative element to the discussion of the merits of plan mergers and consolidation, by providing a framework and an evaluation mechanism under which the welfare impacts of various deals can be assessed. The framework will include: (1) an economic scenario generator that allows for inflation, interest rate and asset dynamics; (2) a model of economies of scale; (3) a model for longevity risk; and (4) a procedure to condense information into simple welfare measures. Use of the framework will be demonstrated with specific hypothetical pension plans. 

Active 
Retirement Risk Survey 

Canadians will be surveyed on their awareness of the risks associated with retirement. The focus will be on perception vs. reality when it comes to areas such as longevity, probability of needing long-term care, etc., in order to identify levels of preparedness, awareness, and potential areas of improvement for the public and policy makers.

Active
Various
 Project  Description  Status
CIA Member Ethical Concerns Survey Building on a similar study conducted by the American Academy of Actuaries, this initiative will survey CIA members on the ethical challenges they face in their practice, the causes of these issues, and possible solutions. Active
COVID 19 Model  A worldwide model to predict extra deaths as a result of COVID-19 for all countries reporting COVID deaths and infections. User-friendly model that has been peer reviewed by several actuaries. Model provides links to key websites on the disease. Active 
COVID-19: Setting the stage for a basic minimum income plan 

The research examines the arguments regarding a basic minimum income, considering the programs launched in response to COVID-19. It will result in a well-reasoned and documented academic paper on this subject that the CIA can use as it contemplates what its public position should be with respect to a basic minimum income plan.

Active