Forecasting mortality: Selected actuarial applications

This thesis deals with calculation of solvency capital requirement for life longevity risk. We start with defining selected demographic terms. Afterwards we introduce some stochastic mortality models, namely Lee-Carter and Cairns- Blake-Dowd model, which will be applied to real data. Subsequently we review mentioned models, regarding parameters, estimates, forecast and also diagno- sis. The theoretical part is closed by a brief description of Solvency II directive, scheme of solvency capital requirement and also method of life longevity risk calculation. In application part we demonstrate particular calculations related to stochastic mortality models resulting in determining solvency capital requ- irement for life longevity risk based on the data from Czech Statistical Office. Applied methods are mutually compared.