A common age effect model for the mortality of multiple populations

Although we do not consider stochastic mortality projections in this paper, we argue that the proposed common age effect model can be extended to a stochastic mortality model for multiple populations, which allows to generate mortality scenarios simultaneously for all considered populations. This is particularly relevant when mortality derivatives are used to hedge the longevity risk in an annuity portfolio as this often means that the underlying population for the derivatives is not the same as the population in the annuity portfolio.