We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death … causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain …

Stochastic mortality models have been developed for a range of applications from demographic projections to financial … management. Financial risk based models built on methods used for interest rates and apply these to mortality rates. They have … Smith (2005) proposed a model based on a forward-rate mortality framework with stochastic factors driven by univariate gamma …

robust multipopulation mortality models, and on the risk management front we need to develop a better understanding of what …

caused by, for example, sudden mortality changes due to the COVID-19 pandemic. To prevent any large movements in this … into a simulation quandary concerning the management of solvency capital risk associated with mortality and longevity. More … approach. Using this efficient simulation method, we further investigate hedging strategies that utilize mortality …