-convexity hedging must be adapted to allow for both interest rate and longevity risk. We develop an immunization approach along with a … delta-gamma based approach allowing for both risks incorporating models for mortality and interest rate risk. The …Pension funds and life insurers offering annuities hold long term liabilities linked to longevity. Risk management of …

In this paper we analyze the impact hedging longevity risk can have on a pension fund's funding ratio volatility and … hedging longevity risk creates additional risk budget to be put towards more rewarding asset allocation strategies, thereby … across all reasonable risk budgets. Therefore, implementing a longevity hedging strategy can improve the fund's Sharpe Ratio …

supporting the use of mortality-linked securities for efficient hedging of the longevity risk … decides to hedge the longevity risk using a mortality-linked security, typically a longevity bond. The pension scheme invests …Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by …

longevity risk using a mortality-linked security, typically a longevity bond. The pension scheme promises a minimum guarantee as … hedging of longevity risk …Pension schemes all over the world are under increasing pressure to efficiently hedge longevity risk imposed by aging …

Longevity risk is the risk that the promised recipient of lifetime cashflows ends up living much longer than originally … anticipated, thus causing a shortfall in funding. A related risk, reimbursement risk is the risk that providers of health … hedging these risks: RBO equity tranches gain value as new life- extending therapies are developed and do so in proportion to …