Description: The abstract for the paper The Lee-Carter Model for Forecasting Mortality Revisited.

Description: Experts' discussion of mortality laws and models. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

Description: A detailed statistical analysis of mortality improvement for the Canadian population and for the Canadian insured lives conducted by the Institute for Quantitative Finance and Insurance.

Description: This is the abstract for the presentation on pricing longevity index swaps.

Description: This is an abstract article about guaranteed minimum income benefit riders by Claymore Marshall and David Saunder. ARCH 2008, Issue 1.

Description: Traditional pension mathematics assumes that mortality rates are fixed at a valuation date. If mortality rates reduce after a valuation date, the liabilities of a defined benefit plans 'DB plans' increase, leading to deficits. Such deficits are somewhat unpredictable, because the evolution of mortality rates is a random process. This problem, which is often called longevity risk, makes the maintenance of DB plans difficult. The International Accounting Standards Board 'IASB' has plans to tackle the arduous problem of how to disclose longevity risk on financial statements. The IASB was established in 2001 to create universal accounting standards, called International Accounting Reporting Standards 'IFRSs'. A primary objective of this paper is to propose a number of methods that can help actuaries and plan sponsors quantify and disclose longevity risk.

Description: In December 2007, Goldman Sachs launched a product called QxX index swap, which is designed to allow market participants to hedge or gain exposure to longevity and mortality risks. This presentation offers a quantitative analysis of this brand new financial innovation. First of all, the presentation sets up a risk-neutral framework to price QxX index swaps. This framework, which is based on the dynamics of death rates under a two-factor stochastic mortality model in a risk-adjusted probability measure, yields prices [spreads] that are fairly close to the spreads that Goldman Sachs currently offers. The presentation then explores the uncertainty involved in this model-based pricing framework. Specifically, it studies parameter risk by using Markov Chain Monte Carlo [MCMC] and model risk by examining structural changes in mortality dynamics. The results indicate that both model risk and parameter risk are significant. Actuaries should therefore be aware of these issues when placing a value on a longevity index swap.

Description: In this paper, we derive three important longevity Greeks on the basis of an extended version of the Lee-Carter model that incorporates stochastic volatility.

Description: This report documents modeling work and compares the decomposition results from the two routes described in Volume 1.

Description: This presentation introduces the Threshold Life Table as a solution to the problem of modeling mortality for extreme ages. This method is based on extreme value theory, and it avoids the need to extrapolate beyond an arbitrary age. This method produces an omega, the highest attainable age, without it being chosen arbitrarily.