capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs of … reasonable market price of longevity risk, the market cost of hedging longevity risk for earlier ages is lower than the cost of … longevity risk management using longevity swaps compared to costs of holding capital under Sovency II. We show that, using a …

of this paper is to quantify longevity risk in portfolios of mortality-linked assets and liabilities, taking into account … uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities … benefits or from investing in survivor swaps. The effect of financial risk on these hedge effects is typically ignored. The aim …