Implications of Unisex Assumptions in the Analysis of Longevity for Insurance Portfolios

Since the Court of Justice of the European Union (EU) imposed a rule that insurance prices cannot be different for men and women, it is relevant to look into insights of mortality rate calculation and its implications. We already know that mortality curves are distinct between men and women, mainly in youth ages. However we are interested in the longevity risk, therefore we studied elderly ages. We start the analysis describing mortality rates for each sex and age. The data used come from INEGI and CONAPO in Mexico. For each 5-year period, the number of deaths and the number of living people by age and sex are available. We assume possible scenarios of gender proportion in mortality tables. Using survival analysis we estimated the parameters of a Weibull distribution, moreover we calculated the value at risk at different confidence levels. We emphasize the limitations of using unisex mortality tables to estimate longevity risk if the proportion of male and female is not equilibrated in the insurance portfolio. The actuarial modeling is necessary even when regulatory circumstances impose rules on the use of risk factors such as gender for tarification.