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...

We investigate the uncertainty of forecasts of future mortality generated by a number of previously proposed stochastic mortality models. We specify fully the stochastic structure of the models to enable them to generate forecasts. Mortality fan charts are then used to compare and contrast the...

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...

Basis risk is an important consideration when hedging longevity risk with instruments based on longevity indices, since the longevity experience of the hedged exposure may differ from that of the index. As a result, any decision to execute an index-based hedge requires a framework for (1)...

The mortality rate dynamics between two related but different-sized populations are modeled consistently using a new stochastic mortality model that we call the gravity model. The larger population is modeled independently, and the smaller population is modeled in terms of spreads (or...

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...