Description: This is the Quantification and Management of Longevity Risk in China paper authored by Johnny Li, Kenneth Q. Zhou and Wai-Sum Chan for Session 1A of the January 13-15, 2020 Living to 100 Symposium in Orlando, Florida.

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: In this paper, we investigate the dynamics of the Lee-Carter mortality index parameter kt. Specifically, we perform statistical hypothesis tests to examine whether the mortality indexes for Canada, England and Wales and the United States are best described by stochastic trends difference stationary models or deterministic trends trend stationary models. The empirical results favor broken-trend stationary models over difference stationary models, which are used in most previous applications of the Lee-Carter method. The results also give strong statistical evidence that the rates of mortality decline for the three populations have significantly accelerated in mid-1970s.

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 Quantification and Management of Longevity Risk in China abstract authored by Johnny Li, Kenneth Q. Zhou and Wai-Sum Chan for Session 1A of the January 13-15, 2020 Living to 100 Symposium in Orlando, Florida.

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

Description: This abstract describes a paper that implements maximum entropy principle in pricing weather derivatives.

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.