Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...

This paper assesses and compares multi-factor continuous time affine mortality models applied to age-cohort mortality curves that are well suited for theoretical and practical application in finance and insurance. Models based on Gaussian distributed mortality rates, as well as the...