Future evolution of mortality poses important challenges for life insurance, pension funds, public policy and fiscal planning. Indeed, when fair values, premium rates and risk reserves are computed, sound and accurate models to forecast stochastic longevity are needed. In this paper, we propose...

The need for having a good knowledge of the degree of dependence between various risks is fundamental for understanding their real impacts and consequences, since dependence reduces the possibility to diversify the risks.This paper expands in a more theoretical approach the methodology developed...

In this paper, we develop a statistical approach to explore empirically the dependence between risks in the extremes. We apply it to study the dependence between mortality and market risks. With data for 6 developed countries, extending over 80 years, we pick the worst 10 years of mortality and...