Handbook of Mortality and Longevity

Mortality and Longevity: Factors, Models and Markets will provide a complete reference to the fast growing field of mortality and longevity modeling. Starting with the very basics and moving on to intermediate and advanced topics, readers will learn everything they need to model mortality completely. It will look at the mathematical functions affecting life expectancy, and crucially, the way that these differ between people and over time. It will also analyse the various genetic, environmental and medical factors that determine these relationships. For this reason, the book is in three sections.

Section 1 will be dedicated to the factors that affect mortality. It will begin by considering the relative importance of various risk factors, such as lifestyle, occupation and genetic influences, and then move on to medical developments. The author will contextualise these risk factors by looking at the developments over the years and at the prospects for the future.

Section 2 looks at ways of describing mortality mathematically. It starts by introducing various mortality functions and the relationships between them, including the construction of life tables. It then covers mortality laws and models, from Gompertz and Makeham through to Lee-Carter, p-spline and beyond. The author will also look at ways in which data can be fitted to mortality models, the graduation process, and ways in which projections can be made. Finally in this section, we will look at experience analysis and the use of generalised linear models and survival models for examining rating factors.

Section 3 looks at practical applications of mortality rates. This starts by looking at methods of liability valuation and contribution calculation using cash flow models and commutation functions. It also discusses types of mortality-contingent securities and derivatives, their uses and limitations, and approaches that can be used in their valuation.

This book will provide a complete reference for practitioners working and researching the field of mortality and longevity. Written by a practitioner and actuary, with hands on experience in this field, it will look at all aspects of mortality that will be relevant to individuals valuing pensions scheme or life insurance liabilities, and also to practitioners in investment banks valuing life contingent securities and derivatives.

Table of Contents

Section 1 - Factors Affecting Longevity
A long-term perspective
Medical advances through the ages
Diet and Nutrition
Future medical advances
The effect of lifestyle
Environmental factors
The importance of occupation
Genetic influences
Selection

Section 2 - Mathematical Representations of Mortality
Measures of Mortality
Exposed to Risk
Mortality Tables
Fitting Mortality Rates
Projecting Mortality Rates
Basic Commutation Functions
Non-Annual Functions
Additional Lives
Multiple Decrement Tables
Commutation Functions with Additional Lives

Section 3 - Mortality Models in Use

Pension Scheme Valuation
Assurance Premiums
Caps and Floors
Mortality bonds
Mortality Derivatives