This paper uses survivor fan charts to illustrate the prospective density functions of future male survival rates. The fan charts are based on a version of the Cairns-Blake-Dowd model of male mortality that provides a good fit to recent mortality data for England and Wales. They indicate that...

We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customised hedge or an index hedge, with the degree of hedge effectiveness being closely related to the correlation between the value...

This paper looks at the development of dynamic hedging strategies for typical pension plan liabilities using longevity-linked hedging instruments. Progress in this area has been hindered by the lack of closed-form formulae for the valuation of mortality-linked liabilities and assets, and the...

This study sets out a framework to evaluate the goodness of fit of stochastic mortality models and applies it to six different models estimated using English & Welsh male mortality data over ages 64-89 and years 1961-2007. The methodology exploits the structure of each model to obtain various...

This paper develops a framework for developing forecasts of future mortality rates. We discuss the suitability of six stochastic mortality models for forecasting future mortality and estimating the density of mortality rates at different ages. In particular, the models are assessed individually...

This paper examines the hypothetical retirement behavior of defined contribution (DC) pension plan participants. Using a Monte Carlo simulation approach, we compare and discuss three retirement decision models: the two-thirds replacement ratio benchmark model, the option-value of continued work...