摘要：Parametric forecasts of future mortality improvements can be based on models
with a small number of factors which summarise both the improvement in
mortality and changes in the relationship between mortality and age. I extend the
analysis of the two-factor model of Cairns, Blake and Dowd (2006) to a more
general dynamic process for the factors and also consider the problems arising
from modelling estimated rather than observed factors. The methods are applied
to mortality data for sixteen countries and are used to estimate the value of an
annuity and measures of risk. The consequences for the money’s worth of an
annuity and reserving are also considered.
