Standardized longevity risk transfers often involve modeling mortality rates of multiple populations. Some researchers have found that mortality indexes of selected countries are cointegrated, meaning that a linear relationship exists between the indexes. Vector error correction model (VECM) was...

A longevity annuity is a deeply deferred annuity which begins payments very late in life. By transferring some of the risk of outliving retirement savings at advanced ages to annuity providers, longevity annuities provide retirees with enhanced later-life financial security. This paper aims to...

We describe an algorithm for estimating the parameters of time-series models expressed in state-space form. The algorithm is based on the EM algorithm, and generalizes an algorithm given by Shumway and Stoffer (1982)