Insurance Data Science Conference 2018
Modelling longevity risk for retirement and pension planning
Gareth Peters, Heriot-Watt University, Edinburgh
In this talk we build on a sequence of papers recently developed to enhance the modelling of life expectancy based on mortality data. Forecasting life expectancy and mortality are two important aspects for the study of demography that influence pension planning, retirement decisions and government policy.
We demonstrate how to develop regression models incorporating stochastic factors such as graduation temporal effects, period effects, cohort effects, stochastic volatility and long memory to enhance the forecasting and estimation of life tables. In addition, we show the mispricing that occurs in standard annuities, pure endowments and Gauranteed Annuity Oprtions (GAOs)