Robust mortality forecasting for multivariate models

In my previous blog I showed how univariate stochastic mortality models like the Lee-Carter and APC models can be robustified to cope with data affected by the covid-19 pandemic. This blog considers multivariate models.

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Robust mortality forecasting for univariate models

The covid-19 pandemic led to high levels of mortality in many countries in 2020. How can univariate projections robustly handle such shocks in population data?

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Does Solvency II demand stochastic models?

Solvency II is a major overhaul of the reserving rules for insurers throughout the European Union.  An important consideration for annuity writers is how it will relate to longevity trend risk.
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Working with constraints

Regular readers of this blog will be aware of the importance of stochastic mortality models in insurance work.

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Volatility v. Trend Risk

The year 1992 was important in the development of forecasting methods: Ronald Lee and Lawrence Carter published their highly influential paper on forecasting US mortality.

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