Longevity Risk and Statistical Modeling

Abstract

The decrease in mortality rates still ongoing, with the associated increase of life expectancy, longevity risk has emerged in many countries across the world. To deal with the dynamic variation of mortality rates and its effects, a set of statistical models, known as the stochastic mortality models, have been utilized. In this paper, we explain a few leading stochastic mortality models and apply them to the valuation of longevity risk from a Bayesian perspective.