annuities. Any changes in the assumptions for future mortality rates can have a major financial impact on the valuation of these … developed in Hunt and Blake (Forward mortality rates in discrete time I), we investigate how these assumptions can change over a … one-year period and the potential for hedging longevity risk in an illustrative annuity portfolio, and find that …

both mortality and interest-rate risk, on both assets and liabilities. It builds a classical risk-return frontier and shows … that hedging strategies -- such as the transfer of longevity risk -- may increase the overall risk while decreasing … gives conditions under which hedging policies become inefficient …

capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs of … reasonable market price of longevity risk, the market cost of hedging longevity risk for earlier ages is lower than the cost of … capital required under Solvency II. Longevity swaps covering higher ages, around 90 and above, have higher market hedging …

capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs of … reasonable market price of longevity risk, the market cost of hedging longevity risk for earlier ages is lower than the cost of … capital required under Solvency II. Longevity swaps covering higher ages, around 90 and above, have higher market hedging …