Mortality Rate Forecasting:
There are many methods of analyzing future mortality rates, mortality improvement and life expectancy. Longitude has implemented a range of publicly-available longevity forecasting models, and developed some of our own proprietary approaches. These tools provide insight into the potential distribution of future longevity outcomes, and demonstrate certain stressed scenarios.
Longevity Risk Analysis:
Longevity risk introduces uncertainty to the valuation and funding of pension and annuity obligations. Longitude develops stochastic and deterministic profiles for these liabilities to examine downside potential and peak funding strains. By clarifying longevity risk’s impact on liabilities, our clients can make more informed risk and capital management decisions.
Hedge Impact Analysis:
Longevity risk hedges are designed to reduce financial uncertainty and alleviate capital charges. Longitude can deliver a distributional view of a hedge’s performance under various longevity scenarios and regulatory frameworks, like Solvency II. These analyses demonstrate the effectiveness of potential hedges using the metrics and objectives most relevant to our clients.
Basis Risk Analysis:
Population sub-sets can demonstrate different mortality characteristics from the overall population. Longitude has techniques for quantifying the basis risk between a client’s specific population and the general-population, as relates to our hedging solutions. These analyses demonstrate how well a hedging program will mimic the performance of a hedger’s underlying liabilities.