New working paper on a stochastic implementation of the APCI model

Longevitas Ltd has published a working paper on a stochastic implementation of the APCI model for mortality projections.  An electronic copy of the paper can be downloaded here.

The projection of mortality rates is an essential part of valuing liabilities in life-insurance portfolios and pension schemes.  An important tool for risk-management and solvency purposes is a stochastic projection model for mortality. The CMI recently introduced the APCI model, but as a means of calibrating its deterministic scenario generator.  The paper shows how the APCI model can be implemented as a fully stochastic model, and how its performance compares to some related stochastic models.  The authors find that the APCI model is a useful addition to the toolkit of projection models, but that some parameters in the APCI model are unsuitable for smoothing.

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