volume 15, issue 2, P317-343 2009
DOI: 10.1017/s1357321700005675
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S. J. Richards, I. D. Currie

Abstract: Several important classes of liability are sensitive to the direction of future mortality trends, and this paper presents some recent developments in fitting smooth models to historical mortality-experience data. We demonstrate the impact these models have on mortality projections, and the resulting impact which these projections have on financial products. We base our work round the Lee-Carter family of models. We find that each model fit, while using the same data and staying within the Lee-Carter family, c…

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