New paper on longevity trend risk in a one-year VaR framework

Longevitas Ltd has published a new research paper on how to fit long-term longevity trend risk into the one-year, value-at-risk horizon required for Solvency II.  Interested readers can download the paper and supporting materials.

The authors present a general procedure which can work with most stochastic projection models, including Lee-Carter, Cairns-Blake-Dowd and Age-Period-Cohort models.  The paper will be of use to actuaries and analysts working for companies exposed to longevity risk, including insurers, reinsurers and defined-benefit pension schemes.