Modelling and Management of Longevity Risk

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.

Source
Maxwell Institute for Mathematical Sciences
Length of Resource
22
Resource File
Author
Andrew J.G. Cairns
Date Published
Publication Type
paper
Resource Type
academic

ResourceID: 72610

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