A Value-at-risk framework for longevity trend risk

The paper entitled "A value-at-risk framework for longevity trend risk" will be presented to the Faculty of Actuaries in Edinburgh on 19th November 2012 and to the Institute of Actuaries in London on 26th November 2012.  Below are some electronic resources associated with this paper:

• Draft paper
• Slides for opening comments from sessional meetings
• Opening comments from sessional meetings
• Package used to fit stochastic projection models.
• R source used to create graphs.
• Stressed-trend capital requirements by age for four models (Figure 2 and 4).
• Stressed-trend capital requirements by discount rate for Lee-Carter model (Figures 3 and 9).
• Harrell-Davis estimates and standard errors for Lee-Carter(S) VaR results (Figure 6). 
• Data for yield curve (Figure 8).
• Fitted Svensson (1994) yield curve (Figure 8).
• Note on configuration and parameter settings for reproducing results.