Pricing mortality-linked contingent claims depends critically on the ability to accurately model three core stochastic components: expected mortality rates and life expectancy by age group, for a given population; interest rate dynamics over various time horizons; and the causal relationship between mortality events and interest rate fluctuations. In each of these components, there is potential for model misspecification that manifests as model risk and may result in mispricing. We study the influence of model risk on pricing life products, including annuity portfolios and guaranteed annuity options. We demonstrate that classical Lee–Carter-type models can produce less accurate model forecasts than our proposed multivariate long-memory models and we quantify the mispricing cost of this model risk.