manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We …, saving, and portfolio allocation patterns given stochastic and systematic mortality. Insurers have taken two approaches to … demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

population mortality was based on UK experience. Results show that static hedging using q-forwards or longevity bonds reduce … static hedging of longevity is less effective because of inflation risk. Variable annuities provide limited longevity … protection compared to life annuities and indexed annuities, as a result longevity risk hedging adds little value for these …

-consistent measure of the benefit in the tail risk. The change in the volatility of the average mortality intensity of a portfolio …This paper provides a method to assess the risk relief deriving from a foreign expansion by a life-insurance company …. We build a parsimonious continuous-time model for longevity risk, that captures the dependence across different ages in …