To mitigate the hedger's longevity risk exposure, this paper proposes a collective longevity swap between a reinsurer (hedge provider) and a group of hedgers (pension plans and annuity providers), and an economic framework to price longevity risk and longevity swaps. Combining the appealing...

Ensuring a desired standard of living in retirement has been strongly challenged by increasing life expectancy, and simultaneously by the current and possibly long-lasting low interest environment. In contrast to literature in this field which claims annuitization of wealth being a vital part of...

This paper studies life reinsurance as a solution to default risk in equity-linked life insurance products with surplus participation. The problem is considered under both perfect and asymmetric information about the insurer’s risk profile between the reinsurer and the insurer. In both cases,...