For the valuation of reverse mortgages with tenure payments, this article proposes a specific analytic valuation framework with mortality risk, interest rate risk, and housing price risk that helps determine fair premiums when the present value of premiums equals the present value of contingent...

To offer a means for insurance companies to deal with longevity risk, this article investigates a natural hedging strategy and attempts to find an optimal allocation of insurance products. Unlike prior research, this proposed natural hedging model can account for both the variance and mispricing...

Asset liability matching remains an important topic in life insurance research. The objective of this paper is to find an optimal asset allocation for a general portfolio of life insurance policies. Using a multi-asset model to investigate the optimal asset allocation of life insurance reserves,...

This research proposes a mortality model with an age shift to project future mortality using principal component analysis (PCA). Comparisons of the proposed PCA model with the well-known models--the Lee-Carter model, the age-period-cohort model (Renshaw and Haberman, 2006), and the Cairns,...

In this paper, we propose AR-GARCH (autoregression-generalized autoregressive conditional heteroskedasticity) models to fit and forecast mortality rates for a given age by two alternative approaches. Specifically, one approach is to fit a time series of mortality rates for some age to an...

To deal with multi-country longevity risk, this article investigates the long-run equilibrium of mortality rates and introduces mortality correlations across countries as a means for pricing a multi-country longevity bond. The examination of the long-run equilibrium of the mortality rate relies...