Description: We apply grouped functional time series forecasting methods to produce point forecasts of mortality rates at older ages and price fixed-term annuities.

Description: This article proposes a framework for estimating mortality improvement models and analyzing the parameter uncertainty in such models.

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: 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: 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: This article analyzes mortality trajectories of supercentenarians (persons living 110+ years) and tests hypothesis about flat mortality at these extreme ages.

Description: This article analyzes mortality trajectories of supercentenarians (persons living 110+ years) and tests hypothesis about flat mortality at these extreme ages.

Description: The author constructed the efficient frontier of new business sales by modeling the embedded value and economic capital against a universe of possible growth rates of the three lines of business in a typical three-year planning horizon. The ERM function can use the efficient frontier of new business to provide a more rigorous analysis of the impact of growth rates on the firm’s overall capital efficiency and value creation, hence forming a feedback loop with the businesses in the planning process to optimize the growth strategy.

Description: This paper, originally published in 1969 in Transactions of Society of Actuaries Vol. 21, presents an analysis of the basic actuarial theory for life insurance policies with fixed premiums and variable benefits reflecting the investment performance of a separate account, where in its basic form, the policyholder bears the entire investment risk. The paper discusses various regulatory and other changes that would be needed or desirable, as well as variation in design such as minimum guarantees. Significant discussion is included, with over twenty individuals contributing in addition to the authors. The introduction to the Monograph notes that while not the first paper on this topic, it “clearly established the framework for subsequent developments of variable products.”

Description: We develop a model based on causal mortality in order to better understand inequalities in life expectancy across socioeconomic circumstances.