In the first part of the paper, we consider the wide range of extrapolative stochastic mortality
models that have been proposed over the last 15–20 years. A number of models that we …

The huge economic significance of longevity risk for corporations, governments, and
individuals has begun to be recognized and quantified. By virtue of its size and prevalence …

In this article, we consider the evolution of the post‐age‐60 mortality curve in the United
Kingdom and its impact on the pricing of the risk associated with aggregate mortality …

We compare quantitatively eight stochastic models explaining improvements in mortality
rates in England and Wales and in the United States. On the basis of the Bayes Information …

In the last decennium a vast literature on stochastic mortality models has been developed.
All well-known models have nice features but also disadvantages. In this paper a stochastic …

Mortality improvements, uncertainty in future mortality trends and the relevant impact on life
annuities and pension plans constitute important topics in the field of actuarial mathematics …

This paper develops a framework for develo** forecasts of future mortality rates. We
discuss the suitability of six stochastic mortality models for forecasting future mortality and …

This paper addresses the problem of longevity risk—the risk of uncertain aggregate mortality—
and discusses the ways in which life assurers, annuity providers and pension plans can …

This paper introduces a new framework for modelling the joint development over time of
mortality rates in a pair of related populations with the primary aim of producing consistent …

Understanding the systematic relationship between period and cohort life expectancy and
how the relationship evolves over time are critical issues in formulating the design of …