Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable … should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models …-in terms, that is, of their goodness-of-fit and prediction accuracy-is often based on the logarithmic scale of the mortality …

This study sets out a backtesting framework applicable to the multi-period-ahead forecasts from stochastic mortality … models and uses it to evaluate the forecasting performance of six different stochastic mortality models applied to English … & Welsh male mortality data. The models considered are: Lee-Carter's 1992 one-factor model; a version of Renshaw …

stochastic mortality risk driven by jumps, unspanned labor income as well as short-sale and liquidity constraints and a simple … insurance. I compare models with deterministic and stochastic hazard rate of death to a model without mortality risk. Mortality … risk has only minor effects on the optimal controls early in the life cycle but it becomes crucial in later years. A …