Longevity risk: a stochastic dynamic approach.

The paper focuses on the study of hazard mortality rates evolution in time to front the actuarial issue of longevity risk. Whatever hypothesis about future mortality, a correct evaluation of the expected mortality randomness requires the use of a suitable stochastic model. In this context, we first propose a computational tractable approach based on a CIR type stochastic process for modeling the future mortality rates. Then we investigate the impact of adverse effects on the mortality dynamics by a quantile analysis. Numerical applications to the Italian population are discussed.