This paper shows that recent published mortality projections with unobserved exposure can be understood as structured density estimation. The structured density is only observed on a sub-sample corresponding to historical calendar times. The mortality forecast is obtained by extrapolating the...

The financial industry has recently seen a push away from structured products and towards transparency. The trend is to decompose products, such that customers understand each component as well as its price. Yet the enormous annuity market combining investment and longevity has been almost...

We propose a nonparametric multiplicative bias corrected transformation estimator designed for heavy tailed data. The multiplicative correction is based on prior knowledge and has a dimension reducing effect at the same time as the original dimension of the estimation problem is retained. Adding...

We analyze a pooled annuity fund from a participant’s perspective by comparing it to a mortality-linked fund, a type of variable payout life annuity, that gives a return linked to the force of mortality but subject to a cost. Fixing the instantaneous volatility of return on wealth, we find...