We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to … with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that …

To control downside risk of a defined benefit (DB) pension plan arising from unexpected mortality improvements and … longevity risk hedging strategies subject to basis risk. While the existing literature suggests that the excess-risk hedging … numerical examples show that the excess-risk hedging strategy is much more vulnerable to longevity basis risk, which limits its …

case of death and survival. Following a Risk Management-oriented approach, this paper first aims at singling out all … sources of risk affecting Variable Annuities (‘risk identification phase'). Critical aspects arise from the interaction … between financial and demographic issues. In particular, the longevity risk may have a dramatic impact on the technical …