both mortality and interest-rate risk, on both assets and liabilities. It builds a classical risk-return frontier and shows … that hedging strategies -- such as the transfer of longevity risk -- may increase the overall risk while decreasing … gives conditions under which hedging policies become inefficient …

the appropriate mortality model and premium principle to price these contracts. This paper investigates the impact of the … mortality model and premium principle choice on the pricing, risk measurement, and modeling of survivor contracts. We present a … survivor swaps (S-swaps). We analyze how the mortality model and premium principle assumptions affect pricing and risk measures …