Since the 2008 Financial Crisis, stress tests based on extreme-yet-plausible scenarios have become a preferred method of assessing risk for large financial institutions, yet scenario choice has largely been ad-hoc. We propose a principled methodology to choose scenarios by minimizing the...

We consider longevity risk hedging problems, where survivor swaps are available as hedging instruments. As objective functions we consider the mean-variance and the mean-conditional-value-at-risk of the hedged liabilities, evaluated using an estimated probability law governing the mortality...