Over the last years, the valuation of life insurance contracts using concepts from financial mathematics has become a popular research area for actuaries as well as financial economists. In particular, several methods have been proposed of how to model and price participating policies, which are...

We use data from a large US life expectancy provider to test for asymmetric information in the secondary life insurance—or life settlements—market. We compare realized lifetimes for a subsample of settled policies relative to all (settled and nonsettled) policies, and find a...

Life annuities provide a guaranteed income for the remainder of the recipient’s lifetime, and therefore, annuitization represents an important option when choosing an adequate investment strategy for the retirement period. While there are numerous scientific articles studying annuities from the...

The use of forward models for the future development of mortality has been proposed by several authors. In this article, we specify adequate volatility structures for such models. We derive a Heath-Jarrow-Morton drift condition under different measures. Based on demographic and epidemiological...

For annuity providers, longevity risk, i.e. the risk that future mortality trends differ from those anticipated, constitutes an important risk factor. In order to manage this risk, new financial products, so-called longevity derivatives, may be needed, even though a first attempt to issue a...

Two of the most important challenges for the application of stochastic mortality models in life insurance practice are their complexity and their apparent incompatibility with classical life contingencies theory, which provides the backbone of insurers’ Electronic Data Processing systems....