Volterra mortality model: Actuarial valuation and risk management with long-range dependence

While abundant empirical studies support the long-range dependence (LRD) of mortality rates, corresponding impact on securities is largely unknown due to lack appropriate tractable models for valuation and risk management purposes. We propose a novel class Volterra that incorporate LRD into actuarial valuation, retain tractability, are consistent with existing continuous-time affine models. derive survival probability in closed-form solution by taking account historical health records. The flexibility tractability make them useful valuing mortality-related products such as death benefits, annuities, longevity bonds, many others, well offering optimal mean–variance hedging rules. Numerical conducted examine effect incorporating rates various insurance efficiency.