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LifeMetrics - Library

The following documents are available for download:

Briefing documents

• LifeMetrics Press Release: launch announcement, 13 March 2007
• "A step towards a market in longevity," Financial Times, 19 March 2007 
• "Managing longevity risk through capital markets," de Actuaris, 21 Sept 2007
• Press Release for LifeMetrics Netherlands Index: launch announcement, 22 October 2007
• Press Release for LifeMetrics Germany Index: launch announcement, 7 April 2008
• Press release: J.P. Morgan transfers intellectual property to the LLMA, 26 April 2011

Technical documents

• LifeMetrics Advisory Committee note on 2008 E&W data point
• LifeMetrics Technical Document, Coughlan et al (2007): a comprehensive description of the LifeMetrics toolkit, including index construction, risk management framework, associated models, data analysis and applications
• LifeMetrics documentation for The Netherlands, Coughlan et al (2007): a description of the data and methodology used for building the LifeMetrics Index for The Netherlands
• "q-Forwards: Derivatives for transferring longevity and mortality risk," Coughlan et al (2007)
• LifeMetrics documentation for Germany, Coughlan et al (2008): a description of data and methodology used for building the LifeMetrics Index for Germany
• England & Wales changes in ONS data provision (2008): a description of the changes to the death data provided by the ONS and the effect on the LifeMetrics methodology for England & Wales
  

Research papers

• "Backtesting stochastic mortality models: An ex post evaluation of multiperiod-ahead density forecasts,” Dowd et al (2010)
• "Longevity hedging: A framework for longevity basis risk analysis and hedge effectiveness," Coughlan et al (2010)
• "Bayesian Stochastic Mortality Modelling for Two Populations," Cairns et al (2010)
• “Longevity risk and portfolio allocation,” Ribeiro et al (2009)
• “A quantitative comparison of stochastic mortality models using data from England and Wales and the United States.”  Cairns et al (2009)
  • North American Actuarial Journal 13(1): 1-35. (Reprint). Copyright 2009 by the Society of Actuaries, Schaumburg, Illinois. Reprinted with permission.
  • Longer version (preprint, 2007) (PDF file).
• “Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period-Ahead Density Forecasts,” Dowd et al (2008)
• “Evaluating the Goodness of Fit of Stochastic Mortality Models,” Dowd et al (2008)
• “Mortality density forecasts: an analysis of six stochastic mortality models,” Cairns et al (2008)
• "Longevity: a market in the making," Loeys et al (2007)

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