Daniel Alai and Michael Sherris
Longevity risk arising from uncertain mortality improvement is one of the major risks facing annuity providers and pension funds.
In this paper we show how applying trend models from non-life claims reserving to age-period-cohort mortality trends provides new insight in estimating mortality improvement and quantifying its uncertainty. Age, period, and cohort trends are modelled with distinct effects for each age, calendar year, and birth year in a generalized linear models framework.
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