Selected mortality projections papers

Our senior actuaries are internationally recognized for their expertise in mortality projection and longevity risk management solutions. They taught numerous short courses and summer schools on the topic, published several books and dozens of papers dealing with these problems.

Among recent contributions, let us mention the new approaches to mortality projections proposed by:

  • Denuit, M., Trufin, J. (2016). From regulatory life tables to stochastic mortality projections: The exponential decline model. Insurance: Mathematics and Economics 71, 295-303.(Link to page)
  • Schinzinger, E., Denuit, M., Christiansen, M. (2016). A multivariate evolutionary credibility model for mortality improvement rates. Insurance: Mathematics and Economics 69, 70-81.(Link to page)
  • Cadena, M., Denuit, M. (2016). Semi-parametric accelerated hazard relational models with applications to mortality projections. Insurance: Mathematics and Economics 68, 1-16.(Link to page)

For earlier publications, please refer to the individual CVs.

Members of our teams also considered the mortality at oldest ages. For a summary of their results, please refer to:

  • Gbari, S., Poulain, M. Dal, L., Denuit, M. (2017). Extreme value analysis of mortality at the oldest ages: A case study based on individual ages at death. North American Actuarial Journal 21, 397-416.(Link to PDF)
  • Denuit, M., Goderniaux, A.-C. (2005). Closing and projecting life tables using log-linear models. Bulletin of the Swiss Association of Actuaries 2005, 29-49.(Link to page)

Recognizing the systematic risk resulting from the uncertainty about future mortality drastically changes the way actuarial calculations are conducted.

Effective computing procedures have been designed in:

  • Gbari, S., Denuit, M. (2015). Stochastic approximations in CBD mortality projection models. Journal of Computational and Applied Mathematics 296, 102-115.(Link to page)
  • Gbari, S., Denuit, M. (2014). Efficient approximations for numbers of survivors in the Lee-Carter model. Insurance: Mathematics and Economics 59, 71-77.(Link to page)
  • Denuit, M., Haberman, S., Renshaw, A. (2013). Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality. European Actuarial Journal 3, 191-201.(Link to page)
  • Christiansen, M.C., Denuit, M. (2013). Worst-case actuarial calculations consistent with single- and multiple-decrement life tables. Insurance: Mathematics and Economics 52, 1-5.(Link to page)
  • Christiansen, M., Denuit, M. (2010). First-order mortality rates and safe-side actuarial calculations in life insurance. ASTIN Bulletin 40, 587-614.(Link to page)
  • Denuit, M., Haberman, S., Renshaw, A. (2010). Comonotonic approximations to quantiles of life annuity conditional expected present values: Extensions to general ARIMA models and comparison with the bootstrap. ASTIN Bulletin 40, 331-349.(Link to page)
  • Denuit, M., Frostig, E. (2008). First-order mortality basis for life annuities. Geneva Risk and Insurance Review 33, 75-89.(Link to page)
  • Denuit, M. (2008). Comonotonic approximations to quantiles of life annuity conditional expected present values. Insurance: Mathematics and Economics 42, 831-838.(Link to page)
  • Denuit, M., Dhaene, J. (2007). Comonotonic bounds on the survival probabilities in the Lee-Carter model for mortality projections. Journal of Computational and Applied Mathematics 203, 169-176.(Link to page)

Besides actuarial calculations, risk management solutions have been proposed for life annuity products, reducing the need for risk capital:

  • Denuit, M., Haberman, S., Renshaw, A. (2015). Longevity-contingent deferred life annuities. Journal of Pension Economics and Finance 14, 315-327.(Link to page)
  • Denuit, M., Haberman, S., Renshaw, A. (2011). Longevity-indexed life annuities. North American Actuarial Journal 15, 97-111.(Link to PDF)

For an exhaustive list of their publications on this topic, please refer to the individual CVs of Michel Denuit and Julien Trufin.