This paper contributes to insurance risk management by modeling extreme climate risk and extreme mortality risk in an integrated manner via extreme value theory (EVT). We conduct an empirical study using monthly temperature and death data in the U.S., and nd that the joint extremes in cold...

During the past twenty years, there has been a rapid growth in life expectancy and an increased attention on funding for old age. Attempts to forecast improving life expectancy have been boosted the development of stochastic mortality modeling, for example the Cairns-Blake-Dowd (CBD) 2006 model....