We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death … causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain …, including an application to partial internal models under Solvency II, using Austrian and Australian data are shown. …

Standardized longevity risk transfers often involve modeling mortality rates of multiple populations. Some researchers … have found that mortality indexes of selected countries are cointegrated, meaning that a linear relationship exists between … the indexes. Vector error correction model (VECM) was used to incorporate this relation, thereby forcing the mortality …