We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death … causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain … risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm …

declining mortality rates, in particular at unanticipated levels. Increasing the annuity loading rewarding the accepted … longevity risk is not an option for annuity providers, given that individuals already consider annuities to be expensive. An …The cost of longevity guarantees of traditional annuity products has increased in the recent scenario, characterized by …