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 …

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 …

. Past improvements in mortality over many years, and the uncertainty of these improvements, have attracted the attention of … experts, both practitioners and academics. Since aggregate mortality rates reflect underlying trends in causes of death …, insurers and demographers are increasingly considering cause-of-death data to better understand risks in their mortality …

In this article, we have modeled mortality rates of Peruvian female and male populations during the period of 1950 …-2017 using the two-factor Lee-Carter (LC) model. The stochastic mortality model was introduced by Lee and Carter (1992) and has … been used by many authors for fitting and forecasting the human mortality rates. The Singular Value Decomposition (SVD …

mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a … general state-space modelling methodology, which allows modelling, estimation and forecasting of mortality under a unified … inference. We then develop a novel class of Bayesian state-space models which incorporate apriori beliefs about the mortality …

natural in this context, as it provides a complete predictive distribution for future claims. The classical credibility theory …