propose a Cost of Capital approach. Our method is designed to be more consistent with Solvency II requirement (longevity risk … pricing approaches. The Hull and White and CIR extended models are used to represent the evolution of mortality over time. We …

risk margin implicit within the calculation of the technical provisions as defined by Solvency II. The maximum price of …-forwards. The Cairns–Blake–Dowd model is used to represent the evolution of mortality over time that combined with the information …

capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs of … capital required under Solvency II. Longevity swaps covering higher ages, around 90 and above, have higher market hedging … reinsurance or the capital markets. This aspect of the Solvency II capital requirements is not well understood and raises …