Before revision: In this paper we describe a useful risk management tool to analyse annuity and life insurance portfolios where mortality is modelled stochastically .
After revision: Using an extended version of the credit risk model CreditRisk+, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss modelling of life insurance and annuity portfolios which can be used in (partial) internal models under Solvency II .