volume 15, issue S1, P235-247 2009
DOI: 10.1017/s1357321700005584
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G. Woo, C. J. Martin, C. Hornsby, A. W. Coburn

Abstract: Mortality improvement has traditionally been analyzed using an array of statistical methods, and extrapolated to make future actuarial projections. This paper presents a prospective forward-looking approach to longevity risk analysis which is based on stochastic modelling of the underlying causes of mortality improvement, due to changes in lifestyle, health environment, and advances in medical science. The rationale for this approach is similar to that adopted for modelling other types of dynamic insurance ris…

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