Abstract: A common feature of retirement income products is that their payouts depend on the lifetime of policyholders. A typical example is a life annuity policy which promises to provide benefits regularly as long as the retiree is alive. Consequently, insurers have to rely on “best estimate” life tables, which consist of age-specific mortality rates, in order to price these kind of products ...

In this paper, we present extensions of the Hatzopoulos–Sagianou (2020) (HS) multiple-component stochastic mortality model. Our aim is to thoroughly evaluate and stress test HS model by deploying various link functions, using generalised linear models, diverse distributions in model’s estimation method. work, differentiate approach modelling number deaths Binomial commonly employed literature m...

It is now widely accepted that stochastic mortality – the risk that aggregate mortality might differ from that anticipated – is an important risk factor in both life insurance and pensions. As such it affects how fair values, premium rates, and risk reserves are calculated. This paper makes use of the similarities between the force of mortality and interest rates to examine how we might model m...

The mortality patterns in human populations reflect biological, social and medical factors affecting our lives, and mathematical modelling is an important tool for the analysis of these patterns. It is known that the mortality rate in all human populations increases with age after sexual maturity. This increase is predominantly exponential and satisfies the Gompertz equation. Although the expon...

In this paper, we present and calibrate a multi-population stochastic mortality model based on latent square-root affine factors of the Cox-Ingersoll Ross type. The considers generalization traditional actuarial laws to stochastic, time-varying setting. We fit dynamics UK males females over last 50 years. estimate optimal states parameters using quasi-maximum likelihood techniques.

Mortality and reproduction are intimately entwined in the study of aging and longevity. I apply the modern theory of complex adaptive systems (nonlinear, stochastic, dynamic methods) to questions of aging and longevity. I begin by highlighting major questions that must be answered in order to obtain a deeper understanding of aging. These are: (i) What should (in an evolutionary sense) mortality...