projected mortality rates. Increasingly attention is being placed on alternative models and, importantly in the financial and … traditional actuarial models for the force of mortality as well as multiple risk factor models. The paper develops a stochastic … longevity model suitable for financial pricing and risk management applications based on Australian population mortality rates …

-at-Risk for longevity and mortality risk. Naturally this requires stochastic mortality rates. The last decennium a vast literature … on stochastic mortality models has been developed. However, very few of them are suitable for determining the one …-year value-at-risk. This requires a model for mortality trends instead of mortality rates. Therefore, we will introduce a …

affine dynamic Nelson-Siegel model. A multi-cohort aggregate, or systematic, continuous time affine mortality model is used … where each risk factor is assigned a market price of mortality risk. To calibrate the market price of longevity risk, a … standard options on zero coupon bonds. The impact of uncertain mortality on long term option prices is quantified and discussed …

This paper proposes and calibrates a consistent multi-factor affine term structure mortality model for longevity risk … applications. We show that this model is appropriate for fitting historical mortality rates. Without traded mortality instruments … the choice of risk-neutral measure is not unique and we fit it to observed historical mortality rates in our framework. We …

Modeling mortality and longevity risk presents challenges because of the impact of improvements at different ages and … the existence of common trends. Modeling cause of death mortality rates is even more challenging since trends and age … effects are more diverse. Despite this, successfully modeling these mortality rates is critical to assessing risk for insurers …

Cohort effects have been identified in many countries. However, some mortality models only consider the modelling and … are important for pricing and hedging purposes. In this paper, we consider modelling mortality development on a cohort … basis, propose and assess a multi-cohort mortality model in an affine framework. We model the mortality intensity with …

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index …-linked variant of the Lee-Carter mortality model. Furthermore, interest rates and stock prices react to changes in GDP, which itself … when the reaction of mortality rates to changes in GDP is incorporated …

and the government bodies in the developed world. Significant and consistent improvements in mortality rates and hence … explosion of stochastic mortality models forecasting trends in mortality data in order to anticipate future life expectancy and … hence quantify the costs of providing for future ageing populations. Many stochastic models of mortality rates identify …