This article uses longevity fan charts to represent the uncertainty in projections of future life expectancy. These fan charts are based on a mortality model calibrated on mortality data for English and Welsh males. The fan charts indicate strong upward sloping trends in future life expectancy....

This paper uses mortality fan charts to illustrate prospective future male mortality. These fan charts show both the most likely path of male mortality and the bands of uncertainty surrounding that path. The fan charts are based on a model of male mortality that is known to provide a good fit to...

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...

This paper examines the impact of interest-rate risk and longevity risk on the distribution of annuity prices in the distant future. To so, the paper uses a computationally efficient algorithm that simulates the state variables out to the end of the horizon period and then uses a Taylor series...

We analyse the range of default funds offered by UK stakeholder pension schemes, against the background of research that shows the majority of pension scheme members passively accept the default arrangements offered by the scheme sponsor. We find the default funds vary substantially in their...

Many people delay joining a pension plan until well into their working lives. We use a stochastic simulation model to show the cost of this delay in terms of the higher pension contributions that must eventually be paid to ensure an adequate retirement income. We find the levels of contributions...

A survivor swap (SS) is an agreement to exchange cash flows in the future based on the outcome of at least one survivor index. This article discusses the possible uses of SSs as instruments for managing, hedging, and trading mortality-dependent risks. SSs are especially useful for insurance...

Survivorship risk is a significant factor in the provision of retirement income. Survivor derivatives are in their early stages and offer potentially significant welfare benefits to society. This article applies the approach developed by Dowd et al. (2006), Olivier and Jeffery (2004), Smith...