Recently, a large number of new mortality models have been proposed to analyse historical mortality rates and project them into the future. Many of these suffer from being over-parametrised or have terms added in an ad hoc manner which cannot be justified in terms of demographic significance. In...

For many pension schemes, a shortage of data limits their ability to use sophisticated stochastic mortality models to assess and manage their longevity risk. In this study, we develop a relative model for mortality, which compares the evolution of mortality rates in a sub-population with that...

A key contribution to the development of the traded market for longevity risk was the issuance of the Kortis bond, the world's first longevity trend bond, by Swiss Re in 2010. We analyse the design of the Kortis bond, develop suitable mortality models to analyse its payoff and discuss the key...

This report attempts to assess the advantages and disadvantages of medical underwriting and its potential impact on the bulk annuity market generally.We start by looking at the theoretical justifications for using underwriting, in terms of whether more data leads to lower prices on average, both...