Mortality modelling and longevity risk management

The 20th century has witnessed some of the largest and most widespread gains in human longevity ever witnessed, which show no sign of slowing down during the early years of the 21st century. The risk of further, higher than anticipated improvements in life expectancy - known as longevity risk - is now a major and growing field of study. This thesis investigates a number of theoretical and practical problems within the field of longevity risk relating to the structure and identifiability issues within many of the most common models used to study mortality rates, the construction of new mortality models, the projection of these models into the future, the impact of differences in the level and evolution of mortality rates in different populations (such as pension schemes) and the market-consistent valuation and measurement of risk in longevity-linked liabilities and securities