We study and calibrate a cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time factor approach. The model allows for imperfect correlation of the mortality intensity across generations. It is implemented on UK data for the period...

Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining an increasing reputation as a way to represent mortality risk. This paper is a first attempt to model the mortality risk of couples of individuals, according to the stochastic intensity...

In this note we use doubly stochastic processes (or Cox processes) in order to model the evolution of the stochastic force of mortality of an individual aged x. These processes have been widely used in the credit risk literature in modelling the default arrival, and in this context have proved...

In this paper, we address the mortality risk of individuals and adopt parsimonious time- homogeneous a±ne processes for their mortality intensities. We calibrate the models to different generations in the UK population and investigate their empirical appropriateness. We find that, in spite of...

The paper presents closed-form Delta and Gamma hedges for an- nuities and death assurances, in the presence of both longevity and interest-rate risk. Longevity risk is modelled through an extension of the classical Gompertz law, while interest rate risk is modelled via an Hull-and-White process....

The paper provides natural hedging strategies among death benefits and annuities written on a single and on different generations. It obtains closed-form Delta and Gamma hedges, in the presence of both longevity and interest rate risk. We present an application to UK data on survivorship and...

One of the major concerns of life insurers and pension funds is the increasing longevity of their beneficiaries. This paper studies the hedging problem of annuity cash flows when mortality and interest rates are stochastic. We first propose a Delta–Gamma hedging technique for mortality risk....

Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to represent mortality risk. This paper represents a first attempt to model the mortality risk of couples of individuals, according to the stochastic...

In this paper we use doubly stochastic processes (or Cox processes) in order to model the random evolution of mortality of an individual. These processes have been widely used in the credit risk literature in modelling default arrival, and in this context have proved to be quite flexible,...

Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to rep- resent mortality risk. This paper represents a .rst attempt to model the mortality risk of couples of individuals, according to the stochastic inten-...