discuss pricing under the complete/incomplete financial market models, stochastic mortality and optimal … the event times. We present accurate numerical results for pricing of a Guaranteed Minimum Accumulation Benefit (GMAB …In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in …

annuity products. Within the Solvency II framework, we capture the mortality of policyholders by the mean of the Hull …

more important issue that we address. In actuarial practice, the different mortality levels of the several risk classes are … obtained by applying adjustment coefficients to population mortality rates. Such a choice is not supported by a rigorous model …. On the other hand, the heterogeneity of a population with respect to mortality can formally be described with a frailty …

Special-rate life annuities are life annuity products whose single premium is based on a mortality assumption driven …

Heterogeneity in mortality rates is known to exist in populations, undermining the use of age and sex as the only … on an assumption that lives will self select and price the longevity risk with an annuity mortality table that assumes … increasing use of rating for life annuity pricing such as impaired annuities and postcode underwriting in the UK. In order to …