Actuarial Modelling of Longevity Risk in Nigeria’s Annuity Market: Challenges and Solutions

This dissertation addresses the actuarial modeling of longevity risk in Nigeria's emerging annuity market, developing mortality projection methodologies appropriate for the Nigerian population data environment and proposing risk management solutions for annuity providers. Longevity risk, the risk that annuitants live longer than mortality assumptions embedded in pricing models, is the central risk management challenge for life insurance companies offering retirement annuity products. Nigeria's contributory pension scheme has created growing demand for annuity products, yet the actuarial infrastructure for Nigerian-specific mortality modeling remains severely underdeveloped relative to the market's needs. This study develops three original contributions to Nigerian mortality modeling: a revised Nigerian Population Mortality Table using civil registration data augmented by health survey mortality estimates; a Lee-Carter stochastic mortality projection model calibrated to Nigerian population data from 1990 to 2022; and a basis risk model quantifying the divergence between annuitant pool mortality experience and population mortality trends. The models are applied to simulate annuity reserve adequacy under alternative longevity scenarios and stress tests calibrated to observed mortality improvement acceleration in comparable developing country contexts. Optimal reinsurance structures for longevity risk transfer and potential capital market instruments including longevity swaps are evaluated within the Nigerian regulatory framework. Keywords: Longevity Risk, Actuarial Modeling, Mortality Projection, Annuity Market, Nigeria.