The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold to a population of partially heterogeneous customers under the joint impact of biometric and financial risk. In particular, the heterogeneity between groups of policyholders...

Some recent literature on optimal pension/life insurance design studies whether contracts with guarantees can be preferred by a utility-maximizing policyholder. In the absence of mortality risk, the main result in the literature (e.g. Doskeland and Nordahl (2008)) is that expected utility theory...

To mitigate the hedger's longevity risk exposure, this paper proposes a collective longevity swap between a reinsurer (hedge provider) and a group of hedgers (pension plans and annuity providers), and an economic framework to price longevity risk and longevity swaps. Combining the appealing...

This paper proposes an innovative retirement product with a focus on longevity risk sharing, a contract we refer to as tail index-linked annuity (TILA). Specifically, the proposed TILA pays out variable annual payments, which will be equal to a regular nominal amount when a reference survival...