provide transparent pricing for interest rate and mortality risk, the construction of optimally immunized bond portfolios and … the determination of a loading and solvency margin for systematic longevity risk. We also quantify the natural hedging … longevity risk arising from the prevalence of defined contribution pensions, uncertainty in improvements in life expectancy …

The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from … issued term life assurance contracts and to compare the results with the capital requirements for mortality risk as …-year VaR and run-off VaR . The calculations of Value-at-Risk are performed using stochastic mortality rates which are …

overall economy-wide mortality risk, have been proposed, but these bonds have challenges and the proponents have not shown how …, ensuring the government is fully hedged, and therefore a natural, low credit risk, issuer. Another innovation covers the life … wealthier portions of the population) and with high risk of outliving their resources need to purchase LIVE bonds. LIVE bonds …

We propose a model for risk adjustment, in the context of IFRS 17, for surrender risk. Surrender rates are assumed to … calculated. Using well-known techniques from the theory of convex ordering of stochastic variables, we present closed formula … approximations of risk measures, such as quantiles, for the total portfolio. These formulas are easy to program and enable an …