basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort … this index. Firstly, the underlying variables of most existing longevity indices are based on mortality experience only … dependencies between ages and cohorts with a cohort-based stochastic mortality model. We achieve this by introducing age …

This article provides natural hedging strategies for life insurance and annuity businesses written on a single … for delta and gamma hedges against cohort-based longevity risk. We exploit the correlation between the mortality … with UK data on survivorship and bond dynamics shows that hedging is effective, even when rebalancing is infrequent …