Coherent Projections of Age, Period, and Cohort Dependent Mortality Improvements

At ICA 2014 in Washington, Matthias presented a prize winning paper, co-authored with Marie-Christine Aleksic, which discussed an approach to mortality projection which allows mortality improvements to depend on age, period and cohort which parameters may be based on the evolution of historic parameters or be user defined. Longevity risk is a key insurance risk and its modelling is relevant for pension plans and their sponsors, annuity providers and social security systems. Projecting mortality improvements is uncertain and the paper notes that a large part of that uncertainty arises because future mortality might evolve differently from historical patterns. The paper illustrates the proposed methodology through projections of future German mortality.