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 … risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm …

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 …