examined under a hypothetical life annuity portfolio subject to longevity risk. The paper presents various hedging features …-based longevity swap and a cap are analyzed in this paper under a tractable stochastic mortality model. The model is calibrated using … Australian mortality data and analytical formulas for prices of longevity derivatives are provided. Hedge effectiveness is …

To control downside risk of a defined benefit (DB) pension plan arising from unexpected mortality improvements and … severe market turbulence, this paper proposes an optimization model by imposing two conditional value at risk (CVaR … longevity risk hedging strategies subject to basis risk. While the existing literature suggests that the excess-risk hedging …