Mortality risk models have been developed to capture trends and common factors driving mortality improvement. Multiple … is necessary to take into account the richer age structure of mortality improvement from young ages to middle and then … mortality tables and has parameters that are interpreted according to age range and effect on rates. Although time series …

affine dynamic Nelson-Siegel model. A multi-cohort aggregate, or systematic, continuous time affine mortality model is used … where each risk factor is assigned a market price of mortality risk. To calibrate the market price of longevity risk, a … standard options on zero coupon bonds. The impact of uncertain mortality on long term option prices is quantified and discussed …

Future evolution of mortality poses important challenges for life insurance, pension funds, public policy and fiscal … females mortality data and implementing the backtesting procedure, over both a static time horizon and fixed-length windows …

This paper evaluates the out-of-sample performance of two stochastic models used to forecast age specific mortality … are used to compare observed ex-post mortality rates to the forecasts generated by the models. Several functions of the … individual age-specific mortality rates are also entertained, including life expectancy at birth (e0), as well as alternative …

We propose a new machine learning-based framework for long-term mortality forecasting. Based on ideas of neighbouring …-term mortality. In addition, the proposed framework addresses the challenge of a shrinking pattern in long-term forecasting with … in the Human Mortality Database. Results show that this framework reduces the mean absolute percentage error (MAPE) of …

We propose new neighbouring prediction models for mortality forecasting. For each mortality rate at age x in year t …, denoted as mx,t, we construct images of neighbourhood mortality data around mx,t, i.e., ℇmx,t (x1, x2, s), which includes … mortality information for ages in [x − x1, x + x2], lagging k years (1 ≤ k ≤ s). Combined with the deep learning model …

The Lee-Carter model has become a benchmark in stochastic mortality modeling. However, its forecasting performance can … architecture for mortality rate forecasting, empirically compare this model as well as other neural network models to the Lee …-Carter model and find that lower forecast errors are achievable for many countries in the Human Mortality Database. We provide …