Longevity risk constitutes an important risk factor for life insurance companies, and it can be managed through … finding a unique pricing measure. We propose a method to estimate the maximum market price of longevity risk depending on the … risk margin implicit within the calculation of the technical provisions as defined by Solvency II. The maximum price of …

We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death … causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain … risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm …