and risks stemming from longevity, still provide reliable insurance benefits and simultaneously take account of the …

This paper proposes and calibrates a consistent multi-factor affine term structure mortality model for longevity risk …

on an assumption that lives will self select and price the longevity risk with an annuity mortality table that assumes … above average longevity. This leads to annuities being less attractive to a wide range of individuals, and limits the … ability of private annuity markets to meet longevity risk product needs of a large part of the population. There is an …

This paper proposes an innovative retirement product with a focus on longevity risk sharing, a contract we refer to as … of longevity risk), and a reduced, index-dependent payment when the threshold is passed (i.e., highly unfavorable … evolution of longevity risk). The proposed TILA aims at not only improving the benefits of the policyholders, which has been the …

The pricing of longevity-linked securities depends not only on the stochastic uncertainty of the underlying risk … risk premium of longevity risk using investable retirement indexes, incorporating uncertain real interest rates using an … where each risk factor is assigned a market price of mortality risk. To calibrate the market price of longevity risk, a …