This article investigates the natural hedging strategy to deal with longevity risks for life insurance companies. We propose an immunization model that incorporates a stochastic mortality dynamic to calculate the optimal life insurance-annuity product mix ratio to hedge against longevity risks....

To deal with multi-country longevity risk, this article investigates the long-run equilibrium of mortality rates and introduces mortality correlations across countries as a means for pricing a multi-country longevity bond. The examination of the long-run equilibrium of the mortality rate relies...

Valuing guaranteed minimum withdrawal benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. However, some popular provisions of GMWB contracts, like the deferred life annuity structure, rollup interest rate guarantees, and surrender...