Constructing entity specific projected mortality table: adjustment to a reference.

Summary This article presents an operational framework for constructing and validating projected mortality table specific to an insurer. We describe several methods of increasing complexity and the process of validation allowing an insurer to adjust a baseline mortality to get closer to a best estimate assessment of its mortality and longevity risk. They provide to the insurer some latitude of choice while preserving simplicity of implementation for the basic methodology. The methodologies articulate around an iterative procedure allowing to choose parsimoniously the most satisfying one. The process of validation is assessed on three levels. This concerns the proximity between the observations and the model, the regularity of the fit as well as the plausibility and consistency of the mortality trends. Finally, the procedure is illustrated from experience data originating from a French Insurance portfolio.