We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death … causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain …

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 …

Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable … should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models …-in terms, that is, of their goodness-of-fit and prediction accuracy-is often based on the logarithmic scale of the mortality …