Jevtić, Petar; Regis, Luca - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 36-47
This paper evaluates the solvency of a portfolio of assets and liabilities of an insurer subject to both longevity and financial risks. Liabilities are evaluated at fair-value and, as a consequence, interest-rate risk can affect both the assets and the liabilities. Longevity risk is described...