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 … (value-at-risk and expected shortfall). Four mortality models (Lee-Carter, Renshaw-Haberman, Cairns-Blake-Dowd, and M6) and …

robust multipopulation mortality models, and on the risk management front we need to develop a better understanding of what … longevity risk. A focus of the discussion concerns how robust these models are relative to a variety of inputs: something that … is particularly important in formulating a risk management strategy. On the modeling front much still needs to be done on …

This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized … the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life … annuity products. Within the Solvency II framework, we capture the mortality of policyholders by the mean of the Hull …