Description: This report documents modeling work and compares the decomposition results from the two routes described in Volume 1.

Description: This paper reports on a detailed statistical analysis of mortality improvement for the Canadian population and for the Canadian insured lives. It considers mortality improvement in the context of life insurance -as opposed to annuities - where any allowance for improvement represents a less prudent approach than assuming current mortality rates continue.

Description: This is the Quantification and Management of Longevity Risk in China paper authored by Johnny Li, Kenneth Q. Zhou and Wai-Sum Chan for Session 1A of the January 13-15, 2020 Living to 100 Symposium in Orlando, Florida.

Description: In this paper, we investigate the dynamics of the Lee-Carter mortality index parameter kt. Specifically, we perform statistical hypothesis tests to examine whether the mortality indexes for Canada, England and Wales and the United States are best described by stochastic trends difference stationary models or deterministic trends trend stationary models. The empirical results favor broken-trend stationary models over difference stationary models, which are used in most previous applications of the Lee-Carter method. The results also give strong statistical evidence that the rates of mortality decline for the three populations have significantly accelerated in mid-1970s.

Description: This is the Quantification and Management of Longevity Risk in China abstract authored by Johnny Li, Kenneth Q. Zhou and Wai-Sum Chan for Session 1A of the January 13-15, 2020 Living to 100 Symposium in Orlando, Florida.

Description: This abstract describes a paper that implements maximum entropy principle in pricing weather derivatives.

Description: In this paper, we investigate the dynamics of the Lee-Carter mortality index parameter kt. Specifically, we perform statistical hypothesis tests to examine whether the mortality indexes for Canada, England and Wales and the United States are best described by stochastic trends difference stationary models or deterministic trends trend stationary models. The empirical results favor broken-trend stationary models over difference stationary models, which are used in most previous applications of the Lee-Carter method. The results also give strong statistical evidence that the rates of mortality decline for the three populations have significantly accelerated in mid-1970s.

Description: In this paper, we derive three important longevity Greeks on the basis of an extended version of the Lee-Carter model that incorporates stochastic volatility.

Description: This report compares and contrasts methodologies for allocating U.S. historical gender-specific mortality improvement experience into four components.

Description: Paper discusses the possible effect of outliers on the mortality index from the Lee-Carter Model. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.