odds-on favorite over the stretch of history examined. Mortality credits alone are not enough to favor the annuity. In the …

portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay …-offs, such as longevity caps, provide more effective downside protection. A tractable stochastic mortality model with age … is calibrated using Australian mortality data. The hedging of the life annuity portfolio is comprehensively assessed for …

The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from … issued term life assurance contracts and to compare the results with the capital requirements for mortality risk as …-year VaR and run-off VaR . The calculations of Value-at-Risk are performed using stochastic mortality rates which are …

We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death … causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain … risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm …

more important issue that we address. In actuarial practice, the different mortality levels of the several risk classes are … then supposed to become larger and more heterogeneous. With respect to the insurer’s risk profile, there is a trade … obtained by applying adjustment coefficients to population mortality rates. Such a choice is not supported by a rigorous model …