Summary The paper presents a reinterpretation of the model underpinning Lee–Carter methodology for forecasting mortality (and other vital) rates. A parallel based on generalized linear modelling is introduced. use residual plots proposed both methods to aid assessment goodness fit. two are compared in terms structure and assumptions. They then through an analysis gender- age-specific rates England Wales over period 1950–1998 consideration forecasts generated by methods. also compares...

The authors review the applications of generalized linear models to actuarial problems. This rich class statistical model has been successfully applied in recent years a wide range problems, involving mortality, multiple-state models, lapses, premium rating and reserving. Selective examples these are presented.

In any country, mortality rates and indices such as life expectancy usually differ across subpopulations, for example, defined by gender, geographic area, or socioeconomic variables (e.g., occupation, level of education, income). These differentials, in particular those related to circumstances, pose important challenges the design public policies tackling social inequalities, well pension systems management longevity risk funds annuity portfolios. We discuss suitability modeling forecasting...

Abstract Longevity swaps have been one of the major success stories pension scheme de-risking in recent years. However, with some few exceptions, all transactions to date bespoke longevity based upon mortality experience a portfolio named lives. In order for this market start meet its true potential, solutions will ultimately be needed that provide protection types members, are cost effective large and smaller schemes, tradable, enable access wider capital markets. Index-based potential...

Abstract The purpose of the article is to apply contingent claim theory valuation type participating life insurance policies commonly sold in UK. extends techniques developed by Haberman, Ballotta, and Wang (2003) allow for default option. option a feature design these policies, which recognizes that company's liability limited market value reference portfolio assets underlying have been sold. approach based on classical pricing “machinery,” underpinned Monte Carlo computation fair values....

Abstract The sustained reduction in mortality rates and its systematic underestimation has been attracting the significant interest of researchers recent times because potential impact on population size structure, social security systems, (from an actuarial perspective) life insurance pensions industry worldwide. Despite number papers published years, a comprehensive review not yet developed. This paper attempts to be starting point for that review, highlighting importance recently...

In this paper, we focus on a Multi-dimensional Data Analysis approach to the Lee–Carter (LC) model of mortality trends. particular, extend bilinear LC and specify new based three-way structure, which incorporates further component in decomposition log-mortality rates. A multi-way analysis is performed using Tucker3 model. The suggested methodology allows us obtain combined estimates for three modes: (1) time, (2) age groups (3) different populations. From results obtained by decomposition,...