The Continuous Mortality Investigation (CMI) have set out their proposals for how they intend to reflect recent mortality experience in longer term projections. The plans feature in the core version of their next Mortality Projections Model, “CMI_2022” which projects the path for future mortality and is used by most pension schemes when setting member mortality and life expectancy assumptions.
The key proposal is to recognise that the heavy population mortality experienced in 2022 could indicate future mortality “to some extent”. This projection can be achieved in a number of ways and the CMI’s consultation document sets out a core proposal to achieve this by placing 25% weight on 2022 data. The headline impact of this could be to reduce life expectancy at age 65 by 2%, (or around six months relative to last years’ model) which could give rise to similar reductions in liabilities.
The consultation paper notes that other approaches could also be considered with varying outcomes. For example, placing full weight on 2022 data but increasing the level of smoothing applied in the model (in order to smooth out some of the effect of 2022’s heavy mortality, using a ‘period smoothing parameter’ increase from seven to 7.5) would lead to similar life expectancies as the core proposal and is presented as a credible alternative option. The CMI have also considered how quickly the model might return to ‘normal’, for example using a phased return to placing full weight on annual data by 2025.
Furthermore, the CMI have confirmed that publication of CMI_2022 will be delayed from March 2023 to June 2023 to allow for the inclusion of Office for National Statistics (ONS) revisions to population estimates for mid-2012 to mid-2020 resulting from the 2021 census, which is due to be published in “early 2023”. This could lead to modest further reductions in life expectancies.
Finally, the consultation also describes additional flexibility in the CMI_2022 model software to allow users to modify the output to reflect their view of mortality improvements in more detail than they can at present, but this does not affect the core model.
The consultation questions are summarised in its working paper (access only available to subscribers), and seek comments from users on the CMI’s proposed approach to CMI_2022, in particular views on:
The consultation closes on 28 February 2023 with final plans for CMI_2022 due to be published by the end of March 2023.
