. This capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs … above, have higher market hedging costs than the saving in the cost of regulatory capital. The Solvency II capital …, rather than transferring this to the reinsurance or the capital markets. This aspect of the Solvency II capital requirements …

channels of contagion. Basel III and Solvency II should improve the stability of these connections, but could have unintended …

threaten the provider's solvency. With a choice of newly emerging hedging instruments, such as mortality bonds, survivor swaps …In this article, we address the problem of developing a hedging strategy for managing a portfolio of longevity risk … portfolio. Given the mortality risk of the demographics of its customer-base, the provider needs to develop a long-term risk …

management tool and to quantify its effectiveness in hedging against changes in mortality with respect to default risk measures …Purpose – Systematic mortality risk, i.e. the risk of unexpected changes in mortality and survival rates, can … substantially impact a life insurers' risk and solvency situation. By using the “natural hedge” between life insurance and annuities …

place. Further enhancements will be required, in the context of the forthcoming introduction of Solvency II requirements, in …

simulation of the effect of a potential double-dip recession on solvency of Guernsey banks and insurance companies. The STs … assess the sensitivity of banks and insurance companies to single-factor shocks to risk types affecting solvency and …