Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable … should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models …-in terms, that is, of their goodness-of-fit and prediction accuracy-is often based on the logarithmic scale of the mortality …

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 …

Longevity risk affecting older adults can be transferred to the insurance market by purchasing a lifetime annuity … traditional considerations of age and sex by using modified mortality tables. However, they are not available in many countries …. In regions where life annuities are priced solely via standard mortality tables, retirees with below-average life …

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 …

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 …

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 …

In this paper, we present extensions of the Hatzopoulos-Sagianou (2020) (HS) multiple-component stochastic mortality … modelling the number of deaths using the Binomial model commonly employed in the literature of mortality modelling. Given this … suitable than those used in the literature to model the mortality dynamics. In this regard, our work offers an extensive …

into a simulation quandary concerning the management of solvency capital risk associated with mortality and longevity. More …-making of mortality-linked securities in the context of mortality and longevity capital risk management. … caused by, for example, sudden mortality changes due to the COVID-19 pandemic. To prevent any large movements in this …

securitization through mortality risk securities. This process requires an accurate prediction of the future mortality dynamics with … costs, since benefits must be provided over a longer period of time. The underlying risk behind the unexpected improvement … in life expectancy is called longevity risk. One way to hedge this risk can be attained with the process of …

Road traffic injuries are a leading cause of death worldwide. Proper estimation of car accident risk is critical for … information substantially improves car accident risk prediction compared to the state-of-the-art risk model of the insurance …