Mortality models are fundamental to quantify mortality/longevity risks and provide the basis of pricing and reserving. In this paper, we consider a family of mortality jump models and propose a new generalized Lee-Carter model with asymmetric double exponential jumps. It is asymmetric in terms...

In this paper, we propose a new framework to coherently produce probabilistic mortality forecasts by exploiting techniques in seasonal time-series models, extreme value theory (EVT), and hierarchical forecast reconciliation. We are amongst the first to model and analyze U.S. monthly death counts...