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 …

within annuity books. In particular, the joint impact of mortality risks and investment risks as well as their respective … annuity data from the United Kingdom, the risk premium charged for aggregate mortality risk seems to be very large relative to …