A Family of Mortality Jump Models Applied to U.S. Data

Abstract

Mortality models are fundamental to quantify mortality/longevity risks and provide the basis of pricing and reserving. In this paper, we consider a family of mortality jump models and propose a new generalized Lee-Carter model with asymmetric double exponential jumps. It is asymmetric in terms of both time periods of impact and frequency/severity profiles between adverse mortality jumps and longevity jumps. It is mathematically tractable and economically intuitive. It degenerates to a transitory exponential jump model when fitting the U.S. mortality data and is the best fit compared with other jump models.

Keywords: Mortality Models, Asymmetric Jumps