The current ageing of the population prompts analysis of the mortality and longevity of individuals. The study of individual longevity necessitates multi-disciplinary modeling, since it is at the crossroads of numerous fields such as demographics, economics and medicine, to name but a few. Increased life expectancy is a critical challenge, which moreover has major consequences in western countries. In particular, the financial flows linked to population ageing are colossal, including for example the financing of retirement and long-term care. Governments, pension funds and insurance policies are consequently highly exposed to the evolution of longevity in the future. It seems necessary to better understand this risk, to model it and to find ways in which to manage and transfer it.
This article proposes a mathematical modeling of longevity and an analysis of longevity risk in the field of demographics and life insurance. It is constructed as follows:
- The first section models mortality, taking into account features other than age.
- The second section approaches longevity modeling with the help of a microscopic population dynamic model, which enables us to describe the evolution of a population on an individual scale.
- The third section deals with some practical applications for this modeling to the fields of demographics and life insurance.
- Harry Bensusan
SCOR Paper #19
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