In this paper, we investigate the construction of mortality indexes using the time-varying parameters in common stochastic mortality models. We first study how existing models can be adapted to satisfy the new-data-invariant property, a property that is required to ensure the resulting mortality...

Natural hedging is one possible method to reduce longevity risk exposure for an annuity provider or a pension plan. In this paper, we provide an assessment of the effectiveness of natural hedging between annuity and life products, using the correlated Poisson Lee–Carter model, Poisson common...

When a bonus–malus system with a single set of optimal relativities and a set of simple transition rules is implemented, two inadequacy scenarios are induced because all policyholders are subject to the same a posteriori premium relativities (level transitions) independent of their a priori...