A Bayesian Approach to Longevity Risk Management

In this thesis, we apply three Bayesian econometric tools in the area of longevity risk management. Firstly, we develop an algorithm to Mortality modelling under the Bayesian state-space framework. Our framework allows for efficient and fast estimation of model parameters. Secondly, we provide a new hypothesis testing method using Bayesian Decision Theory applied in annuity liabilities, which is a more robust approach to the standard Null Hypothesis Significance Testing. Lastly, we provide a Bayesian risk premium analysis for longevity derivatives.