is calibrated using Australian mortality data. The hedging of the life annuity portfolio is comprehensively assessed for … portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay …-offs, such as longevity caps, provide more effective downside protection. A tractable stochastic mortality model with age …

annuities. Any changes in the assumptions for future mortality rates can have a major financial impact on the valuation of these … developed in Hunt and Blake (Forward mortality rates in discrete time I), we investigate how these assumptions can change over a … one-year period and the potential for hedging longevity risk in an illustrative annuity portfolio, and find that …

Life insurers are exposed to catastrophic mortality risk. Catastrophic mortality bonds are a recent market innovation …-level general population mortality in their construction. By constructing a typical mortality risk portfolio and calibrating a bond …