We compare quantitatively eight stochastic models explaining improvements in mortality rates in England &Wales and in the US. On the basis of the Bayes Information Criterion (BIC), we find that an extension of the Cairns, Blake & Dowd (2006b) model that incorporates the cohort effect fits the...

In the first part of the paper, we consider the wide range of extrapolative stochastic mortality models that have been proposed over the last 15-20 years. A number of models that we consider are framed in discrete time and place emphasis on the statistical aspects of modelling and forecasting....

This article uses the framework of designing a commercial aircraft to illustrate how a personal defined-contribution (DC) pension plan should be designed if it is to achieve its objective of delivering an adequate and secure retirement pension. The article's suggestions are based on similarities...

We analyse the range of default funds offered by UK stakeholder pension schemes, against the background of research that shows the majority of pension scheme members passively accept the default arrangements offered by the scheme sponsor. We find the default funds vary substantially in their...

This article uses longevity fan charts to represent the uncertainty in projections of future life expectancy. These fan charts are based on a mortality model calibrated on mortality data for English and Welsh males. The fan charts indicate strong upward sloping trends in future life expectancy....

This paper uses mortality fan charts to illustrate prospective future male mortality. These fan charts show both the most likely path of male mortality and the bands of uncertainty surrounding that path. The fan charts are based on a model of male mortality that is known to provide a good fit to...

Survivorship is a risk of considerable importance to developed economies. Survivor derivatives are in their early stages and manage a risk which is arguably more serious than that managed by credit derivatives. This paper takes the approach developed by Dowd et al. [2006], Olivier and Jeffery...

Survivor derivatives are gaining considerable attention in both the academic and practitioner communities. Early trading in such products has generally been confined to products with linear payoffs, both funded (bonds) and unfunded (swaps). History suggests that successful linear payoff...

We investigate the uncertainty of forecasts of future mortality generated by a number of previously proposed stochastic mortality models. We specify fully the stochastic structure of the models to enable them to generate forecasts. Mortality fan charts are then used to compare and contrast the...

This paper examines the impact of interest-rate risk and longevity risk on the distribution of annuity prices in the distant future. To so, the paper uses a computationally efficient algorithm that simulates the state variables out to the end of the horizon period and then uses a Taylor series...