management. Financial risk based models built on methods used for interest rates and apply these to mortality rates. They have … related to the notion of ax minimum. The resulting model provides a more realistic basis for capturing the risk of mortality …Stochastic mortality models have been developed for a range of applications from demographic projections to financial …

Annuities providers become more and more exposed to longevity risk due to the increase in life expectancy. To hedge … this risk, new longevity derivatives have been proposed (longevity bonds, q-forwards, S-swaps…). Although academic … propose a Cost of Capital approach. Our method is designed to be more consistent with Solvency II requirement (longevity risk …

required capital, insurance companies are motivated to establish hedging strategies to mitigate the inherent risk exposures … into a simulation quandary concerning the management of solvency capital risk associated with mortality and longevity. More … approach. Using this efficient simulation method, we further investigate hedging strategies that utilize mortality …