A life care annuity is a bundled insurance product comprised of a life annuity and long-term care insurance. Some recent studies find the two risks - longevity risk and long-term care risk - to be opposing and thus life care annuities advantageous in regard to pooling the two risks. Based on...

Systematic mortality risk, i.e. the risk of unexpected changes in mortality and survival rates, can substantially impact a life insurers' risk and solvency situation. By using the “natural hedge” between life insurance and annuities, insurance companies have an effective tool for reducing...

This paper proposes a unified framework for measuring and managing longevity risk. Specifically, we develop a flexible framework for valuing survivor derivatives like forwards, swaps, as well as options both of European and American style. Our framework is essentially independent of the assumed...