Survivorship risk is a significant factor in the provision of retirement income. Survivor derivatives are in their early stages and offer potentially significant welfare benefits to society. This article applies the approach developed by Dowd et al. (2006), Olivier and Jeffery (2004), Smith...

A survivor swap (SS) is an agreement to exchange cash flows in the future based on the outcome of at least one survivor index. This article discusses the possible uses of SSs as instruments for managing, hedging, and trading mortality-dependent risks. SSs are especially useful for insurance...

In this article, we consider the evolution of the post-age-60 mortality curve in the United Kingdom and its impact on the pricing of the risk associated with aggregate mortality improvements over time: so-called longevity risk. We introduce a two-factor stochastic model for the development of...

With the growth of private and public defined contribution (DC) pension plans around the world, market rates of return should increasingly play a large role in the retirement patterns of individuals. The reverse could, however, also be true-i.e., a country's population demographics could...

This article examines the main characteristics of longevity bonds (LBs) and shows that they can take a large variety of forms which can vary enormously in their sensitivities to longevity shocks. We examine different ways of financially engineering LBs and consider problems arising from the...

This article offers a critical assessment of the "survivor bonds" (SBs) proposal recently put forward by Blake and Burrows, which calls for the government to issue bonds whose coupon payments are contingent on the proportions of retirees surviving to particular ages. It suggests that the...

We discuss a number of quantile-based risk measures (QBRMs) that have recently been developed in the financial risk and actuarial/insurance literatures. The measures considered include the Value-at-Risk (VaR), coherent risk measures, spectral risk measures, and distortion risk measures. We...