Payments of life insurance products depend on the uncertain future evolution of survival probabilities. This uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities can be substantial, and that there exists a (natural)...

Over the last decades, significant improvements in life expectancy have been observed in most Western countries. More importantly, there is considerable uncertainty regarding the future development of life expectancy. This uncertainty imposes significant risk on pension providers and life...

We consider longevity risk hedging problems, where survivor swaps are available as hedging instruments. As objective functions we consider the mean-variance and the mean-conditional-value-at-risk of the hedged liabilities, evaluated using an estimated probability law governing the mortality...