Wharton Pension Research Council Working Papers

Document Type

Working Paper

Date of this Version



In this article we review the state of play in the use of stochastic models for the measurement and management of longevity risk. A focus of the discussion concerns how robust these models are relative to a variety of inputs: something that is particularly important in formulating a risk management strategy. On the modeling front much still needs to be done on robust multipopulation mortality models, and on the risk management front we need to develop a better understanding of what the objectives are of pension plans that need to be optimized. We propose a variety of ways forward on both counts.


The published version of this Working Paper may be found in the 2014 publication: Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk.


Longevity Risk, Stochastic Mortality Models, Robustness, Risk Management

Working Paper Number


Copyright/Permission Statement

All opinions, errors, findings, interpretations, and conclusions of this paper represent the views of the authors and not those of the Wharton School or the Pension Research Council. © 2013 Pension Research Council of the Wharton School of the University of Pennsylvania. All rights reserved.

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Economics Commons



Date Posted: 26 June 2019