This paper provides a flexible multi-factor framework to address some ongoing challenges in mortality modeling, with a special focus on the mortality curvature and possible mortality plateau for extremely old ages. We extend the Gompertz law Gompertz (1825) by proposing a multi-factor...

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...