The pricing of life insurance products depends critically on the ability to model and forecast three core stochastic drivers. Firstly, the ability to accurately forecast expected mortality rates by age group for a given population in order to construct estimates of the life expectancy required...

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...