Pessimistic predictions in stochastic mortality modelling: Implications in the life annuity framework

In this paper, we propose a case study based on the Ital ian unisex mortality experience. By means of a backtesting analysis, we show that five selected stochastic mortality models are overly pessimistic about mortality across post-retirement ages, and over different forecast ing horizons. Furthermore, we estimate some financial consequences of mortality overprediction, in relation to actuarial and economic measures that are intrinsically based on longevity forecasts.