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Frailty-based mortality models and reserving for longevity risk

Carannante, M., D’amato, V., Haberman, S. ORCID: 0000-0003-2269-9759 & Menzietti, M. (2024). Frailty-based mortality models and reserving for longevity risk. The Geneva Papers on Risk and Insurance - Issues and Practice, doi: 10.1057/s41288-024-00319-y


For the life insurance industry and pension schemes, mortality projections are critical for accurately managing exposure to longevity risk in terms of both premium setting and reserving. Frailty has been identified as an important latent factor underpinning the evolution of mortality rates. It represents the comorbidities that drive the deterioration of the human body’s physiological capacity. In this paper, we propose a stochastic mortality model that incorporates the trend in frailty, and we analyse the gap between the actuarial evaluations of premiums and technical provisions calculated under frailty-based and traditional stochastic mortality models. We observe that the frailty-based model leads to higher levels of uncertainty in estimates and projections (compared to a traditional stochastic mortality model), which is attributed to the explicit modelling of the comorbidities. This leads to proposing a potentially important policy-oriented recommendation: the incorporation of frailty in mortality modelling would allow for the profiling of mortality according to the portfolio in force for the insurer (or pension scheme), thereby mitigating the problem of adverse selection.

Publication Type: Article
Additional Information: This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit
Publisher Keywords: Frailty, Stochastic Mortality Modelling, Adverse Selection
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
H Social Sciences > HF Commerce
Departments: Bayes Business School
Bayes Business School > Actuarial Science & Insurance
SWORD Depositor:
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