Modelling and Management of Longevity Risk

Submitted on 29th July 2015

In this article we review the state of play in the use of stochastic models for the measurement and management of longevity risk. A focus of the discussion concerns how robust these models are relative to a variety of inputs: something that is particularly important in formulating a risk management strategy. On the modelling front much still needs to be done on robust multipopulation mortality models, and on the risk management front we need to develop a better understanding of what the objectives are of pension plans that need to be optimised. We propose a variety of ways forward on both counts.

Maxwell Institute for Mathematical Sciences
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Andrew J.G. Cairns
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