Zeddouk, Fadoua; Devolder, Pierre - In: Risks 7 (2019) 2, pp. 1-29
Annuities providers become more and more exposed to longevity risk due to the increase in life expectancy. To hedge … propose a Cost of Capital approach. Our method is designed to be more consistent with Solvency II requirement (longevity risk … assessment is based on a one year time horizon). The price of longevity risk is determined for a S-forward and a S-swap but can …