Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable … should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models …-in terms, that is, of their goodness-of-fit and prediction accuracy-is often based on the logarithmic scale of the mortality …

drivers. Firstly, the ability to accurately forecast expected mortality rates by age group for a given population in order to … between mortality events and interest rate fluctuations.In this work we tackle all three aspects of these challenging problems …-Carter models in constructing forecasts for mortality and subsequent life expectancy by age and gender. This is achieved by …

affine dynamic Nelson-Siegel model. A multi-cohort aggregate, or systematic, continuous time affine mortality model is used … where each risk factor is assigned a market price of mortality risk. To calibrate the market price of longevity risk, a … standard options on zero coupon bonds. The impact of uncertain mortality on long term option prices is quantified and discussed …