volume 15, issue S1, P249-265 2009
DOI: 10.1017/s1357321700005596
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B. Browne, J. Duchassaing, F. Suter

Abstract: ABSTRACTAll UK insurers exposed to longevity risk need to perform stress tests for their Individual Capital Assessment (ICA). Some have put in place deterministic models which are arguably too simple; others have developed stochastic models that can be demanding and complex.This paper presents a simple model to turn any deterministic mortality scenario into a stochastic model. We propose a simple model of stochastic variation that is easy to explain and to implement, which could be an alternative to and/or com…

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