Living forever with Solvency II: A closer look at mortality stresses

In recent Consultation Papers, the EIOPA proposed an alternative calibration of the Standard Formula mortality and longevity stresses. This white paper proposes two alternative and complementary views to the EIOPA’s final technical set of advice on the mortality and longevity shock calibration: a prospective approach in the spirit of one-year calculations and a retrospective analysis based on historical data from corrected mortality tables.