This paper proposes an innovative retirement product with a focus on longevity risk sharing, a contract we refer to as tail index-linked annuity (TILA). Specifically, the proposed TILA pays out variable annual payments, which will be equal to a regular nominal amount when a reference survival...

This paper proposes a principal-agent framework to study the optimal transfer of longevity risk between a reinsurer and a hedger under information asymmetry. Most hedgers in the real world have rather small portfolios which are hard to be accurately estimated by the reinsurer. Using indemnity...

To mitigate the hedger's longevity risk exposure, this paper proposes a collective longevity swap between a reinsurer (hedge provider) and a group of hedgers (pension plans and annuity providers), and an economic framework to price longevity risk and longevity swaps. Combining the appealing...