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 …

This paper discusses the allocation of aggregate longevity risk in the case of perfect insurance markets. We show that … the optimal allocation transfers some risk to the pensioners, even if pension providers have access to a perfect insurance … market. Individuals prefer contributions and benefits to depend on the evolution of aggregate mortality rates rather than …

more important issue that we address. In actuarial practice, the different mortality levels of the several risk classes are … then supposed to become larger and more heterogeneous. With respect to the insurer’s risk profile, there is a trade … obtained by applying adjustment coefficients to population mortality rates. Such a choice is not supported by a rigorous model …

This paper proposes an innovative retirement product with a focus on longevity risk sharing, a contract we refer to as … of longevity risk), and a reduced, index-dependent payment when the threshold is passed (i.e., highly unfavorable … evolution of longevity risk). The proposed TILA aims at not only improving the benefits of the policyholders, which has been the …

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 …

This paper analyzes an individual’s post retirement longevity risk management strategy allowing for systematic … longevity risk, recent product innovations, and product loadings. A complete-markets discrete state model and multi … systematic and idiosyncratic longevity risk. Portfolios include: fixed life annuities, deferred annuities, inflation …