propose a Cost of Capital approach. Our method is designed to be more consistent with Solvency II requirement (longevity risk … pricing approaches. The Hull and White and CIR extended models are used to represent the evolution of mortality over time. We …

risk margin implicit within the calculation of the technical provisions as defined by Solvency II. The maximum price of …-forwards. The Cairns–Blake–Dowd model is used to represent the evolution of mortality over time that combined with the information …

capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs of … capital required under Solvency II. Longevity swaps covering higher ages, around 90 and above, have higher market hedging … reinsurance or the capital markets. This aspect of the Solvency II capital requirements is not well understood and raises …

capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs of … capital required under Solvency II. Longevity swaps covering higher ages, around 90 and above, have higher market hedging …. Insurers will be able to offer more finely priced annuities if they can reduce this cost whilst maintaining solvency. This …

of this paper is to quantify longevity risk in portfolios of mortality-linked assets and liabilities, taking into account …

annuity products. Within the Solvency II framework, we capture the mortality of policyholders by the mean of the Hull … the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life …

for the insurance industry. Against this background, the combination of reinsurance and capital market solutions … systematic and idiosyncratic risks. We focus on the impact of regulation on risk transfer, by differentiating reinsurance and … securitisation in terms of their impact on reserve requirements. Our results show that different regulatory prescriptions will lead …