This paper updates Living with Mortality published in 2006. It describes how the longevity risk transfer market has developed over the intervening period, and, in particular, how insurance-based solutions – buy-outs, buy-ins and longevity insurance – have triumphed over capital markets...

This paper seeks to assess the potential longer-term impact of the COVID-19 pandemic on those who survive. We propose a simple model for accelerated deaths that draws on the observation that many of those who die from COVID-19 are often, but not always, much less healthy than the average for...

The analysis of national mortality trends is critically dependent on the quality of the population, exposures and deaths data that underpin death rates. We develop a framework that allows us to assess data reliability and to identify anomalies, illustrated, by way of example, using England and...

The mortality rate dynamics between two related but different-sized populations are modeled consistently using a new stochastic mortality model that we call the gravity model. The larger spreads (or deviations) relative to the evolution of the former, but the spreads in the period and cohort...

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...

This paper updates Living with Mortality published in 2006. It describes how the longevity risk transfer market has developed over the intervening period, and, in particular, how insurance-based solutions – buy-outs, buy-ins and longevity insurance – have triumphed over capital markets...

We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customized hedge or an index hedge, with the degree of hedge effectiveness being closely related to the correlation between the value...

Governments are among the few agencies that can help the private sector hedge against the increasing problem of aggregate longevity risk. David Blake, Tom Boardman, Andrew Cairns and Kevin Dowd from the Pensions Institute at Cass Business School urge governments to issue longevity bonds as soon...