This paper provides a method to assess the risk relief deriving from a foreign expansion by a life-insurance company. We build a parsimonious continuous-time model for longevity risk, that captures the dependence across different ages in domestic versus foreign populations. We provide three...

Longevity risk transfer is a popular choice for annuity providers such as pension funds. This paper formalizes the trade-off between the cost and the risk relief of such choice, when the annuity provider uses value-at-risk to assess risk. Using first-order approximations we show that, if the...

On the premise that pension provision in Europe will dramatically change over the next few decades, this book concentrates on the funded component of pension wealth, and specifically on annuities - financial products that, on the basis of actuarial equivalence, allow the conversion of wealth...

The recent regulatory changes, together with the increasing awareness of the variety of sources of uncertainty that affect the activities of insurance and pension funds, have generated increasing attention towards insurance risk management theory and practice. Against this background, this...