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 …

The design and development of post-retirement income products require the assessment of longevity risk, as well as a … basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort …-based value index for life insurers and pension funds to manage longevity risk. There are two innovations in the development of …

investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure …