Modelling Income Protection Claim Termination Rates by Cause of Sickness II: Mortality of UK Assured Lives

This is the second of three papers in which we present methods and results for the estimation and modelling of claim termination rates for Income Protection (IP) insurance, allowing for different causes of claim. In the first paper we discussed recoveries. In this and the third paper we develop models for the mortality of IP claimants. We model this mortality as the sum of two components: a base, or background, mortality, which is a function of age and calendar year, but not of the specific cause of sickness or its current duration, and a cause-specific element which does depend on the current duration of the sickness. In this paper we discuss the modelling of the base mortality. In particular, we use data supplied by the Continuous Mortality Investigation relating to UK assured lives from 1975 (males) and 1983 (females) to 2003 to develop models of mortality which are functions of sex, age and calendar year. Such models are of interest in their own right, particularly at a time when expected future lifetimes are increasing. The modelling of the cause-specific component of the mortality model is discussed in Paper III.