Modeling the Risk in Mortality Projections

Capturing the Uncertainty in Long-Term Mortality Forecasts The uncertainty future longevity presents a substantial risk factor for insurance companies, pension funds, and retirement systems. In “Modeling Risk Projections,” Zhu Bauer present novel stochastic models analyzing this that focus on associated with long-term mortality projections capture evolution of forecasts over past decades. They arrive at their by time series forward modeling framework, which contrasts conventional are built age-specific realized rates. authors showcase exemplifying financial applications both traditional life markets emerging transfer market. A key takeaway is positions depend substantially greater under than suggested models.