During the past twenty years, there has been a rapid growth in life expectancy and an increased attention on funding for old age. Attempts to forecast improving life expectancy have been boosted by the development of stochastic mortality modeling, for example the Cairns–Blake–Dowd (CBD) 2006...

With rapid economic growth and medical advances, longevity and health in China have been continuously improving in recent decades. However, health inequalities across Chinese provinces are still large. In this paper, we provide a province-by-province analysis of healthy life expectancy at birth...

Accurate future mortality forecasts are of fundamental importance as they ensure adequate pricing of mortality-linked insurance and financial products. Extrapolative methods are the most commonly adopted forecasting approach in the literature on projecting future mortality rates (see for example...

In pricing extreme mortality risk, it is commonly assumed that the interest rate and mortality rate are independent. However, the recent COVID-19 outbreak calls this assumption into question. We propose a bivariate affine jump-diffusion structure to jointly model the interest rate and excess...

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...

This paper contributes to insurance risk management by modeling extreme climate risk and extreme mortality risk in an integrated manner via extreme value theory (EVT). We conduct an empirical study using monthly temperature and death data in the U.S., and nd that the joint extremes in cold...