Mortality risk models have been developed to capture trends and common factors driving mortality improvement. Multiple factor models take many forms and are often developed and fitted to older ages. In order to capture trends from young ages it is necessary to take into account the richer age...

Longevity risk and the modeling of trends and volatility for mortality improvement has attracted increased attention driven by ageing populations around the world and the expected financial implications. The original Lee-Carter model that was used for longevity risk assessment included a single...

Pricing and risk management for longevity risk has increasingly become a major challenge for life insurers and pension funds around the world. Risk transfer to financial markets, with their major capacity for efficient risk pooling, is an area of significant development for a successful...

In this paper, we investigate the dynamics of age-cohort survival curves under the assumption that the instantaneous mortality intensity is driven by an affine jump-diffusion (AJD) process. Advantages of an AJD specification of mortality dynamics include the availability of closed-form...

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...

There are many alternative approaches to selecting mortality models and forecasting mortality. The standard practice is to produce forecasts using a single model such as the Lee-Carter, the Cairns-Blake-Dowd, or the Age- Period-Cohort model, with model selection based on in-sample goodness of...

Affine mortality models are well suited for theoretical and practical application in pricing and risk management of mortality risk. They produce consistent, closed-form stochastic survival curves allowing for the efficient valuation of mortality-linked claims. We model USA age-cohort mortality...

Continuous-time affine mortality models are useful in the analysis of age-cohort mortality rates as they yield a closed-form expression for survival curves which are consistent with the dynamics of latent factors driving mortality and are well-suited for finance and insurance applications. We...

Mortality risk sharing pools such as pooled annuity funds and tontines provide an attractive and effective solution for managing longevity risk. They have been widely studied in the literature. However, such arrangements are not optimal for individuals in need of long-term care (LTC) insurance....