Uncertainty in mortality projections: an actuarial perspective

The use of mortality tables that include a forecast of the future trends of mortality (the so-called "projected tables") for life insurance valuations is analysed. In particular, annuity and term assurance portfolios are cons idered. The (systematic) risk inherent in the adoption of a table that migh t not properly represent future mortality is modelled. Some tools for facin g such risk are briefly discussed. (C) 2001 Elsevier Science B.V. All right s reserved.