New model of post-retirement mortality published in Scandinavian Actuarial Journal

The Scandinavian Actuarial Journal has published our latest research paper on post-retirement mortality differentials.  Our new model allows highly parsimonious modelling of risk factors with automatic convergence by age, but without rates crossing over at advanced ages.  The model also permits selection effects and age-varying time trend to be estimated from portfolio experience data.  Combined with our existing mis-estimation assessment, the model is ideal for (re)insurers underwriting bulk buy-outs, longevity swaps or other large-scale liability transfers.