Three topics in stochastic mortality modeling and longevity risk management

The unexpected mortality changes observed in recent decades are posing serious concerns to the financial stability of the insurance industry and our social security system. The COVID-19 pandemic adds another layer of difficulty to this ongoing issue. In this talk, we will discuss three actuarial problems in the research area of stochastic mortality modeling and longevity risk management. First, we will explore how a Bayesian spline model can be used to generate a two-dimensional mortality improvement scale that improves the industry standards currently used by actuarial professions. Second, we will discuss how the nested simulation problem in pricing mortality securities can be eased by a green simulation method via likelihood ratio. Third, we will examine how an index-based longevity hedge can be implemented to address the socioeconomic differentials and associations in mortality for a pension plan.