Abstract
Longevity improvements have contributed to widespread underfunding of pension plans and losses in insured annuity portfolios. Insurers might reasonably expect some upside from the effect of lower mortality on their life business. Although mortality improvement scales, such as the Society of Actuaries Scale AA, are widely employed in pension and annuity valuation, the derivation of these scales appears heuristic, leading to problems in deriving meaningful measures of uncertainty. We explore the evidence on mortality trends for the Canadian life insurance companies, data, using stochastic models. We use the more credible population data to benchmark the insured lives data. Finally, we derive a practical, model-based formula for actuaries to incorporate mortality improvement and the associated uncertainty into their calculations.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
