---
title: On Risk Management of Mortality and Longevity Capital Requirement: A Predictive Simulation Approach
url: https://www.ml-quant.com/papers/ssrn/4580817/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4580817
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4580817
featured: 2023-09-28
citations: 5
topic: Risk, Credit & Banking
---


# On Risk Management of Mortality and Longevity Capital Requirement: A Predictive Simulation Approach

A paper suggests using a simulation approach with mortality-linked securities and stochastic mortality rates to manage capital risk in the insurance industry and meet regulatory capital requirements.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4580817
- Identifier: SSRN 4580817
- Released: 2023-09-23
- First featured: Quant Letter No. 17 (2023-09-28): https://www.ml-quant.com/issues/2023-09-28/
- Citations (Semantic Scholar): 5
- Published in: not yet
- Topic: Risk, Credit & Banking

## Related

- [Ensemble distributional forecasting for insurance loss reserving](https://www.ml-quant.com/papers/arxiv/2206.08541/): The paper introduces a framework for combining multiple stochastic loss reserving models, which performs better than traditional strategies and equally weighted ensembles, taking into account the full distributional properties of the ensemble.
- [Differential quantile-based sensitivity in discontinuous models](https://www.ml-quant.com/papers/arxiv/2310.06151/): Discontinuous Model Sensitivity Analysis: The article discusses a framework for understanding complex computational models, focusing on discontinuities and discrete input variables, and applies it to risk analysis of compound risk models and reinsurance credit risk.
- [Mean-Field Libor Market Model and Valuation of Long Term Guarantees](https://www.ml-quant.com/papers/arxiv/2310.09022/): The article introduces a numerical asset-liability management model based on the multi-dimensional mean-field Libor market model, which can calculate future discretionary benefits in line with Solvency II regulation, using public life insurance data.
- [Neural Networks for Insurance Pricing with Frequency and Severity Data: A Benchmark Study from Data Preprocessing to Technical Tariff](https://www.ml-quant.com/papers/arxiv/2310.12671/): The research evaluates different models for insurance claim frequency and severity data, presenting combined actuarial neural networks (CANNs) that merge baseline predictions with a neural network correction, and recommends using global surrogate models for practical deployment.
- [Law-invariant return and star-shaped risk measures](https://www.ml-quant.com/papers/arxiv/2310.19552/): The paper introduces new characterizations for law-invariant star-shaped functionals, demonstrating their wide use in finance, insurance, and probability scenarios.
- [Insurance pricing on price comparison websites via reinforcement learning](https://www.ml-quant.com/papers/arxiv/2308.06935/): The paper presents a new reinforcement learning framework for insurers to develop better pricing strategies on price comparison websites, proving its effectiveness over existing methods in terms of sample efficiency and cumulative reward.