In the first part of the paper, we consider the wide range of extrapolative stochastic mortality
models that have been proposed over the last 15–20 years. A number of models that we …

The huge economic significance of longevity risk for corporations, governments, and
individuals has begun to be recognized and quantified. By virtue of its size and prevalence …

This article investigates the latest developments in longevity-risk modelling, and explores
the key risk management challenges for both the financial and insurance industries. The …

For insurance companies in Europe, the introduction of Solvency II leads to a tightening of
rules for solvency capital provision. In life insurance, this especially affects retirement …

In this article, we incorporate a jump process into the original Lee–Carter model, and use it
to forecast mortality rates and analyze mortality securitization. We explore alternative models …

Pricing and risk management for longevity risk have increasingly become major challenges
for life insurers and pension funds around the world. Risk transfer to financial markets, with …

Abstract This Special Issue of Insurance: Mathematics and Economics contains 16
contributions to the academic literature all dealing with longevity risk and capital markets …

Securitizing longevity/mortality risk can transfer longevity/mortality risk to capital markets.
Modeling and forecasting mortality rate is key to pricing mortality‐linked securities …

This paper proposes a stochastic mortality model featuring both permanent longevity jump
and temporary mortality jump processes. A trend reduction component describes …

This paper proposes and calibrates a consistent multi-factor affine term structure mortality
model for longevity risk applications. We show that this model is appropriate for fitting …