Financial products are priced using risk-neutral expectations justified by hedging portfolios that (as accurate as possible) match the product's payoff. In insurance, premium calculations are based on a real-world best-estimate value plus a risk premium. The insurance risk premium is typically...

In the US, Defined Benefit Plans are insured by the Pension Benefit Guaranty Corporation (PBGC). Taking account of the facts that the PBGC covers only the residual deficits of the pension fund the sponsoring company is unable to cover and that the plans can be prematurely terminated, we consider...

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...

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...