basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort …The design and development of post-retirement income products require the assessment of longevity risk, as well as a …-based value index for life insurers and pension funds to manage longevity risk. There are two innovations in the development of …

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk … factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in … quant trading with much shorter holding horizons is suboptimal: (1) longer horizon risk factors (value, growth, etc …

that Lévy process-based models provide a better fit to the US statutory accounting data, and identifies how parameter risk … insurance parameter risk. …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …