Before revision: Using an extended version of the credit risk model CreditRisk^+ , we develop a flexible framework to estimate stochastic life tables and to model credit, life insurance and annuity portfolios , including actuarial reserves.
After revision: We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain Monte Carlo (MCMC) is used for parameter estimation. We then link our proposed model to an extended version of the credit risk model CreditRisk^+ , we develop a flexible framework to estimate stochastic life tables and to model credit, life insurance and annuity portfolios , including actuarial reserves.