-dependent force of mortality. We formulate the optimization problem as a combined stochastic control and optimal stopping problem with … a random time horizon, featuring three state variables: wealth, labor income, and force of mortality. To address this …- and mortality-dependent transformed version of the optimal stopping boundary. We also provide numerical illustrations of …

projected mortality rates. Increasingly attention is being placed on alternative models and, importantly in the financial and … traditional actuarial models for the force of mortality as well as multiple risk factor models. The paper develops a stochastic … longevity model suitable for financial pricing and risk management applications based on Australian population mortality rates …

which the stochastic mortality model is given by a general diffusion process. A wage earner can invest in a zero-coupon bond … mortality model and the square-root mortality model, respectively. To illustrate our results, numerical examples based on … special solutions are provided. It is shown that idiosyncratic mortality risk has significant impacts on the wage earner …

We propose a general framework that can be used to analyse the mortality experience of a large portfolio of lives. The … objective of the framework is to provide a firm evidence base to support the setting of future mortality assumptions for the … portfolio as a whole or subgroup-by-subgroup. The framework is developed in tandem with an analysis of the mortality of …

adequate mortality forecasting on actuarial liabilities. An employer who sets up an employee defined benefit pension plan …