We study and calibrate a cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time factor approach. The model allows for imperfect correlation of the mortality intensity across generations. It is implemented on UK data for the period...

On the premise that pension provision in Europe will dramatically change over the next few decades, this book concentrates on the funded component of pension wealth, and specifically on annuities - financial products that, on the basis of actuarial equivalence, allow the conversion of wealth...