Title: Modelling longevity trends and longevity risk
Authors: Steven Haberman - Cass Business School (United Kingdom)
Valeria D Amato - University of Salerno (Italy) [presenting]
Abstract: The fact that life is longer in many developed (and developing) countries has a significant financial effect on individuals, governments, social security systems, pension plans and insurance and reinsurance companies. In this context, we will define longevity risk and we will examine the background in terms of historical trends in mortality rates and longevity and consider the financial implications. In order to plan in advance for these changes, we require reliable models that enable the reliable forecasting of future longevity trends and the measurement of uncertainty. We will examine different approaches to the modelling of the trends in the underlying mortality rates as well as the mortality improvement rates. We will present some results from comparative studies of modelling and forecasting. We will finally reflect on the state of the science and look at the new avenues for research that look promising.