As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on the appropriate mortality model and premium principle to...

This dissertation consists of three papers referring to the pricing of insurance-linked securities, while a fourth one deals with investigating the dynamics of foreign exchange implied volatility and correlation surfaces. The first paper proposes a novel risk-neutral pricing approach for...