Mortality is a stochastic process. We have imprecise knowledge about the probability distribution of mortality rates in the future. Mortality risk, therefore, can be defined in a broad term of ambiguity. In this paper, we investigate the effects of ambiguity and ambiguity aversion on prices of...

Modeling mortality dependence for multiple populations has significant implications for mortality/longevity risk management. A natural way to assess multivariate dependence is to use copula models. The application of copula models in the multi-population mortality analysis, however, is still in...

Modeling mortality co-movements for multiple populations have significant implications for mortality/longevity risk management. A few two-population mortality models have been proposed to date. They are typically based on the assumption that the forecasted mortality experiences of two or more...