Estimating the term structure of mortality

Longevity risk in portfolios of pension annuities

“…where T x,t denotes the remaining lifetime of an individual with age x at time t; see also Gerber (1997).…”

“…For more details on estimating the force of mortality by the exposure and the death number, seeGerber (1997). 6 Human Mortality Database.…”

Mortality risk modeling: Applications to insurance securitization

“…However, this model may not be appropriate for modeling longevity (and mortality) shocks which may not follow a stationary Gaussian process. To describe the stochastic longevity trend, Hári et al (2008) extend the Lee-Carter model with a time-varying, stochastic drift. Biffis (2005) captures mortality random departures around a time-varying target with a longevity compound Poisson process, but that model cannot guarantee a nonnegative force of mortality.…”

Stochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency

“…This variable is typically characterized as the "dominant temporal pattern in the decline of mortality" (Tuljapurkar et al, 2000), "a random period effect" (Cairns et al, 2008), or simply as a latent variable (Hári et al, 2008a). However, a recent cross-country study by Hanewald (2009) reveals that the mortality index in the Lee-Carter model is not merely an unobserved, latent variable that fluctuates erratically, but is driven to a considerable extent by external factors.…”