-offs, such as longevity caps, provide more effective downside protection. A tractable stochastic mortality model with age … is calibrated using Australian mortality data. The hedging of the life annuity portfolio is comprehensively assessed for …

Stochastic mortality models have been developed for a range of applications from demographic projections to financial … management. Financial risk based models built on methods used for interest rates and apply these to mortality rates. They have … Smith (2005) proposed a model based on a forward-rate mortality framework with stochastic factors driven by univariate gamma …