This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized … the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life …

portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay … a range of assumptions for the longevity risk premium, the term to maturity of the hedging instruments, as well as the … size of the underlying annuity portfolio. The results compare the risk management benefits and costs of longevity …

then supposed to become larger and more heterogeneous. With respect to the insurer’s risk profile, there is a trade … more important issue that we address. In actuarial practice, the different mortality levels of the several risk classes are … model. We suggest adopting a frailty model for risk classification. We identify risk groups (or classes) within the …

examined under a hypothetical life annuity portfolio subject to longevity risk. The paper presents various hedging features … exhibited by a longevity swap and a cap based on different assumptions underlying the market price of longevity risk, the term …

risk. Hence, the risk management objective "enhancing the company market share" can be pursued without significant … worsening of the annuity portfolio risk profile. …

annuity payout of course impacts on the overall risk profile of the life annuity portfolio. On the one hand a higher premium … extending the business without taking huge amounts of risk. Hence, the Risk Management objective “enhancing the company market … share” can be pursued without significant worsening of the LoB risk profile …

result in a reduction in expected costs and equivalence premiums. However, due to the different impact of longevity risk on …, time restrictions reduce the duration of the provider’s liability, which should therefore be less exposed to financial risk … time frames for life annuity arrangements, first addressing longevity risk only, and then including also financial risk …