A Two-factor Model for Stochastic Mortality with Parameter Uncertainty : Theory and Calibration

@inproceedings{Cairns2005ATM,
title={A Two-factor Model for Stochastic Mortality with Parameter Uncertainty : Theory and Calibration},
author={Andrew J. G. Cairns and David Blake and Kevin Dowd},
year={2005}
}

In this paper we consider the evolution of the post-60 mortality curve in the UK and its impact on the pricing of the risk associated with mortality improvements over time: so-called longevity risk. We introduce a two-factor stochastic model for the development of this curve through time. The first factor affects mortality-rate dynamics at all ages in the same way, whereas the second factor affects mortality-rate dynamics at higher ages much more than at lower ages. The paper then examines the… CONTINUE READING