In the field of mortality, the Lee–Carter based approach can be considered the milestone to forecast mortality rates …–Carter model, the κ t parameter, describing the mortality trend over time, plays an important role about the future mortality … behavior. The traditional ARIMA process usually used to model κ t shows evident limitations to describe the future mortality …

Estimation of future mortality rates still plays a central role among life insurers in pricing their products and … managing longevity risk. In the literature on mortality modeling, a wide number of stochastic models have been proposed, most … of them forecasting future mortality rates by extrapolating one or more latent factors. The abundance of proposed models …

future mortality rates. It can be argued that there are two types of mortality models using this approach. The first extracts …-parametric smoothing techniques to model mortality and thus has no explicit constraints placed on the model. We argue that from a … using Great Britain male mortality data from 1950–2016. We also conduct a robustness test to see how sensitive the forecasts …

Mortality improvements and life expectancies have been increasing in recent decades, leading to growing interest in … understanding mortality risk and longevity risk. Studies of mortality forecasting are of interest among actuaries and demographers … because mortality forecasting can quantify mortality and longevity risks. There is an abundance of literature on the topic of …

-offs, such as longevity caps, provide more effective downside protection. A tractable stochastic mortality model with age … is calibrated using Australian mortality data. The hedging of the life annuity portfolio is comprehensively assessed for …

Stochastic mortality models have been developed for a range of applications from demographic projections to financial … management. Financial risk based models built on methods used for interest rates and apply these to mortality rates. They have … Smith (2005) proposed a model based on a forward-rate mortality framework with stochastic factors driven by univariate gamma …

The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from … issued term life assurance contracts and to compare the results with the capital requirements for mortality risk as …-year VaR and run-off VaR . The calculations of Value-at-Risk are performed using stochastic mortality rates which are …

pricing approaches. The Hull and White and CIR extended models are used to represent the evolution of mortality over time. We …