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...

This paper proposes a multi-population approach to forecasting mortality rates for the less developed countries in a coherent way. The majority of these countries have witnessed faster mortality declines among the young and the working age population, whereas in developed countries, 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...

Forecasted mortality rates using mortality models proposed in the recent literature are sensitive to the sample size. In this paper we propose a method based on Bayesian learning to determine model-specific posterior distributions of the sample sizes. In particular, the sample size is included...

This paper proposes a coherent multi-population approach to mortality forecasting for less developed countries. The majority of these countries have witnessed faster mortality declines among the young and the working age populations during the past few decades, whereas in the more developed...

This paper investigates dynamic hedging strategies for liabilities that are exposed to longevity risk. In particular, we consider the case where a hedger wishes to minimize the variance of her hedging error using longevity-linked derivatives. Time-consistent, closed-form solutions of optimal...