In this study we propose a stochastic mortality forecast model that may be viewed as a Lévy process. First, age, period and cohort effects are objectively identified in a given matrix of historic mortality data. Next, these patterns are removed from the matrix of mortality improvement rates. We...

Any mortality analysis is faced with the difficulty of dealing with large quantities of noisy data. Pragmatic approaches have ever relied on graphical analysis of mortality contour maps in order to identify age, period and cohort effects. We adapt and apply suitable methods of image processing...

In this article we present a new approach to estimate the change of the present value of a given cashflow pattern caused by an interest rate shift. Our approximation is based on analysing the evolution of the present value function through a linear differential equation. The outcome is far more...