-world mortality data …

last decades. We claim that this needs to be addressed explicitly in many mortality modeling applications, for example in … the life insurance industry. To support this position, we provide a descriptive analysis of the mortality development of … impact a mortality jump has on the parameters, forecasts and implied present values of the popular Lee-Carter mortality model …

We propose a dynamic production function of population health and mortality from birth onwards. Our parsimonious model … provides an excellent fit for the mortality and survival curves for both primate and human populations since 1816. The model … mortality gradients across socio-economic statuses, (ii) non-monotonic dynamic effects of in-utero shocks, (iii) persistent or …

The Lee-Carter model has become a benchmark in stochastic mortality modeling. However, its forecasting performance can … architecture for mortality rate forecasting, empirically compare this model as well as other neural network models to the Lee …-Carter model and find that lower forecast errors are achievable for many countries in the Human Mortality Database. We provide …

insurance companies. The value of this benefit depends on several processes assumed to describe both the mortality and the … literature is devoted to the valuation of GMMB for different mortality models, in particular when the mortality dynamics is … described by affine models of diffusion type. In the present paper we assume for the mortality dynamics a self …

Affine mortality models are well suited for theoretical and practical application in pricing and risk management of … mortality risk. They produce consistent, closed-form stochastic survival curves allowing for the efficient valuation of … mortality-linked claims. We model USA age-cohort mortality data using five multi-factor affine mortality models. We focus on …

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as …