We provide a new method, the “MV CVaR approach”, for managing unexpected mortality changes underlying annuities and life insurance. The MV CVaR approach optimizes the mean-variance tradeoff of an insurer's mortality portfolio, subject to constraints on downside risk. We apply the method of...

Given the rising cost of maintaining defined benefit (DB) pensions, there has been a surge of activities in recent years by DB plan sponsors to transfer their pension risk through strategies such as buy-ins and buy-outs. As buy-in and buy-out transaction pipelines grow, insurers actively...