We provide a new method, the “MV CVaR approach”, for managing unexpected mortality changes underlying annuities and life insurance. The MV CVaR approach optimizes the mean-variance tradeoff of an insurer's mortality portfolio, subject to constraints on downside risk. We apply the method of...

The purpose of this article is to study mortality-based securities, such as mortality bonds and swaps, and to price the proposed mortality securities. We focus on individual annuity data, although some of the modeling techniques could be applied to other lines of annuity or life insurance

Modeling mortality dependence for multiple populations has significant implications for mortality/longevity risk management. A natural way to assess multivariate dependence is to use copula models. The application of copula models in the multi-population mortality analysis, however, is still in...