Biffi, Paola; Clemente, Gian - In: Decisions in Economics and Finance 37 (2014) 2, pp. 255-286
The future revision of capital requirements and a market-consistent valuation of non-hedgeable liabilities lead to an increasing attention on forecasting longevity trends. In this field, many methodologies focus on either modeling mortality or pricing mortality-linked securities (as longevity...