For many pension schemes, a shortage of data limits their ability to use sophisticated stochastic mortality models to assess and manage their longevity risk. In this study, we develop a relative model for mortality, which compares the evolution of mortality rates in a sub-population with that...

A key contribution to the development of the traded market for longevity risk was the issuance of the Kortis bond, the world's first longevity trend bond, by Swiss Re in 2010. We analyse the design of the Kortis bond, develop suitable mortality models to analyse its payoff and discuss the key...

Longevity risk has emerged as an important risk in the early 21st century for the providers of pension benefits and annuities. Any changes in the assumptions for future mortality rates can have a major financial impact on the valuation of these liabilities and motivates many of the...

Many users of mortality models are interested in using them to place values on longevity-linked liabilities and securities. Modern regulatory regimes require that the values of liabilities and reserves are consistent with market prices (if available), whilst the gradual emergence of a traded...

One of the key motivations in the construction of ever more sophisticated mortality models was the realisation of the importance of “cohort effects” in the historical data. However, these are often difficult to estimate robustly, due to the identifiability issues present in age/period/cohort...

The addition of a set of cohort parameters to a mortality model can generate complex identifiability issues due to the collinearity between the dimensions of age, period and cohort. These issues can lead to robustness problems and difficulties making projections of future mortality rates. Since...

As the field of modelling mortality has grown in recent years, the number and importance of identifiability issues within mortality models has grown in parallel. This has led both to robustness problems and to difficulties in making projections of future mortality rates. In this paper, we...

There has recently been a huge increase in the use of models which examine the structure of mortality rates across the dimensions of age, period and cohort. This paper reviews the major developments in the field and provides a holistic analysis of these models and examines their similarities and...

The gravity model of Dowd et al. (2011) was introduced in order to achieve coherent projections of mortality between two related populations. However, this model as originally formulated is not well-identified since it gives projections which depend on the arbitrary identifiability constraints...