Longevity risk and the modeling of trends and volatility for mortality improvement has attracted increased attention driven by ageing populations around the world and the expected financial implications. The original Lee-Carter model that was used for longevity risk assessment included a single...

In this paper, we estimate the dependence structure between international stock markets using copulas. Different relationships that exist in normal and extreme periods were estimated using Clayton copula. The Inference Functions for Margins method was used in estimating the Clayton copula...

Mortality models used to assess longevity risk and retirement funding have been extended to stochastic models with trends and systematic risk. Systematic risk cannot be readily diversified in an insurance pool or pension fund. It is an important factor in assessing solvency and highlighting the...