mortality model and premium principle choice on the pricing, risk measurement, and modeling of survivor contracts. We present a … survivor swaps (S-swaps). We analyze how the mortality model and premium principle assumptions affect pricing and risk measures … (value-at-risk and expected shortfall). Four mortality models (Lee-Carter, Renshaw-Haberman, Cairns-Blake-Dowd, and M6) and …

This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized … the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life … annuity products. Within the Solvency II framework, we capture the mortality of policyholders by the mean of the Hull …

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as … investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …

result in a reduction in expected costs and equivalence premiums. However, due to the different impact of longevity risk on …, time restrictions reduce the duration of the provider’s liability, which should therefore be less exposed to financial risk … time frames for life annuity arrangements, first addressing longevity risk only, and then including also financial risk …

We propose a model for risk adjustment, in the context of IFRS 17, for surrender risk. Surrender rates are assumed to … calculated. Using well-known techniques from the theory of convex ordering of stochastic variables, we present closed formula … approximations of risk measures, such as quantiles, for the total portfolio. These formulas are easy to program and enable an …

innovation lies in the integration of classical credibility theory with expected risk models, enhancing their stability and …Accurate risk assessment is crucial for predicting potential financial losses. This paper introduces an innovative … approach by employing expected risk models that utilize risk samples to capture comprehensive risk characteristics. The …

We investigate the impact of model uncertainty on hedging longevity risk with index-based derivatives and assessing … longevity basis risk, which arises from the mismatch between the hedging instruments and the portfolio being hedged. We apply … uncertainty of model selection into the modeling of longevity basis risk. The hedging results under this approach may …

In recent multi-population stochastic mortality models, one critical scientific issue is the vague distinction between … trend risk and population basis risk. In particular, the cross- and auto-correlations between the innovations of the latent … uncorrelated. This permits us to disentangle trend risk and population basis risk, thereby sparing us from the need to use a …

required capital, insurance companies are motivated to establish hedging strategies to mitigate the inherent risk exposures … into a simulation quandary concerning the management of solvency capital risk associated with mortality and longevity. More … approach. Using this efficient simulation method, we further investigate hedging strategies that utilize mortality …

. The immunization procedure is based on a targeted minimax strategy considering the M-Absolute as the interest rate risk … measure. We investigate to what extent the inflation-hedging properties of ILBs in asset liability management strategies …