Modeling the Risk in Mortality Projections
This paper presents and applies models for the valuation and management of mortality-contingent exposures. Such exposures include insurance and pension benefits as well as novel mortality-linked securities traded in financial markets. Unlike conventional approaches to modeling mortality, we consider the stochastic evolution of mortality projections rather than realized mortality rates. Relying on a time series of age-specific mortality forecasts, we develop a set of stochastic models that—unlike conventional mortality models—capture the evolution of mortality forecasts over the past fifty years. In particular, the dynamics of our models reflect the substantial observed variability of long-term projections, and are therefore particularly well-suited for financial applications where long-term demographic uncertainty is relevant.
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Work Title | Modeling the Risk in Mortality Projections |
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License | In Copyright (Rights Reserved) |
Work Type | Article |
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Publication Date | February 15, 2022 |
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Deposited | July 25, 2022 |
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