Insurers and pension funds must value liabilities using mortality rates that are appropriate for their portfolio. Current practice is to multiply available projections of population mortality with portfolio-specific factors, which are often determined using Generalised Linear Models....

Most mortality models proposed in recent literature rely on the standard ARIMA-framework (in particular: a random walk with drift) to project mortality rates. As a result the projections are highly sensitive to the calibration period. We apply a modelling strategy for the time-dependent...

Survival bonds are financial instruments with a payoff that depends on human mortality rates. In markets that contain such bonds, agents optimizing expected utility of consumption and terminal wealth can mitigate their longevity risk. To examine how this influences optimal portfolio strategies...