We study the implications of longevity shocks for corporate bond markets, corporate debt financing and investment through the lens of life insurers. Longevity shocks shift life insurers' demand for bonds of specific maturities. When longevity increases, life insurance companies increase their...

Time-preference shocks affect agents' preferences for assets with different durations. We consider longevity risk as a source of time-preference shocks and model it in the recursive preferences setting. This implies a consumption-based three-factor model, including longevity risk, consumption...

This paper proposes a new copula model known as the Lévy subordinated hierarchical Archimedean copulas (LSHAC) for multi-country mortality dependence modeling. To the best of our knowledge, this is the first paper to apply the LSHAC model to mortality studies. Through an extensive empirical...

This paper provides a flexible multi-factor framework to address some ongoing challenges in mortality modeling, with a special focus on the mortality curvature and possible mortality plateau for extremely old ages. We extend the Gompertz law Gompertz (1825) by proposing a multi-factor...

We propose new neighbouring prediction models for mortality forecasting. For each mortality rate at age x in year t, denoted as mx,t, we construct images of neighbourhood mortality data around mx,t, i.e., ℇmx,t (x1, x2, s), which includes mortality information for ages in [x − x1, x + x2],...