We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death … causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain … risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm …

Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable … should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models …-in terms, that is, of their goodness-of-fit and prediction accuracy-is often based on the logarithmic scale of the mortality …

result in a reduction in expected costs and equivalence premiums. However, due to the different impact of longevity risk on …, time restrictions reduce the duration of the provider’s liability, which should therefore be less exposed to financial risk … time frames for life annuity arrangements, first addressing longevity risk only, and then including also financial risk …

Longevity risk affecting older adults can be transferred to the insurance market by purchasing a lifetime annuity … traditional considerations of age and sex by using modified mortality tables. However, they are not available in many countries …. In regions where life annuities are priced solely via standard mortality tables, retirees with below-average life …

provide transparent pricing for interest rate and mortality risk, the construction of optimally immunized bond portfolios and … longevity risk arising from the prevalence of defined contribution pensions, uncertainty in improvements in life expectancy … manage individual longevity risk is the life annuity. Annuity markets remain thin, driven by many factors including lack of …