Description: This paper develops the binomial version of the Lee-Carter model and provides a comparative study of simulation strategies for assessing risk in mortality rate predictions and associated estimates of life expectancy and annuity values in both period and cohort frameworks.

Description: We employ a framework for the classification of mortality evolution patterns to HMD data. We find both supra-regional patterns and outliers from global trends.

Description: Securitization of mortality risks is an alternative risk management tool that may have some advantages over reinsurance. The purpose of this paper is to study mortality-based securities, such as swaps and mortality bonds, and to price the proposed mortality securities. We focus on group life annuity data, although the techniques could be applied to other lines of annuity or life insurance.

Description: We ask whether we can find support for the previously reported upper limit of the force of mortality of 0.7, i.e. about the probability of tossing a fair coin.

Description: We employ a framework for the classification of mortality evolution patterns to HMD data. We find both supra-regional patterns and outliers from global trends.

Description: Mortality trend risk affects pension plans, life insurers, annuity writers and insurers of workers’ compensation, where the tail claims are mostly annuities. As with many risk sources, mortality risk can be broken down into process risk, parameter risk and model risk. In this paper, process risk, parameter risk and model risk are discussed using the fitted models. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: Recent trends in mortality suggest that future gains in life expectancy will occur after age 80. This fact stresses the need and the importance to obtain precise measures of mortality at the highest ages, which are always subject to uncertainty due to misreporting of age at death.

Description: This paper demonstrates the calculation of the moments of the distribution of aggregate life insurance claims from seriatim inforce data, assuming that each record represents an independent Bernoulli trial with its own known probability of a claim, q. Continuous distributions matching the first three or four moments are identified.

Description: We ask whether we can find support for the previously reported upper limit of the force of mortality of 0.7, i.e. about the probability of tossing a fair coin.

Description: This is the informal discussion transcript for concurrent Session 6B: The Changing Face of Elder Care from the January 4-6, 2017 Living to 100 Symposium.