Life insurance profitability depends on reliable mortality risk projections and pricing. While the COVID-19 pandemic has caused disruptions around the world, this is a temporary mortality shock likely to dissipate. In this paper, we investigate the long-run impact of COVID-19 on life insurance...

Longevity risk constitutes an important risk factor for life insurance companies, and it can be managed through longevity-linked securities. The market of longevity-linked securities is at present far from being complete and does not allow finding a unique pricing measure. We propose a method to...

In small populations, mortality rates are characterized by a great volatility, the datasets are often available for a few years and suffer from missing data. Therefore, standard mortality models may produce high uncertain and biologically improbable projections. In this paper, we deal with the...

This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P 500 market index during the period of 4 January 2001-28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In particular, we fit a three-regime switching model...

The relevance of critical illness coverage and life insurance in cause-specific mortality conditions is increasing in many industrialized countries. Specific conditions on the illness and on death event, providing cheapest premiums for the insureds and lower obligations for the insurers,...

An essential input of annuity pricing is the future retiree mortality. From observed age-specific mortality data, modeling and forecasting can take place in two routes. On the one hand, we can first truncate the available data to retiree ages and then produce mortality forecasts based on a...