of this paper is to quantify longevity risk in portfolios of mortality-linked assets and liabilities, taking into account … uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities … benefits or from investing in survivor swaps. The effect of financial risk on these hedge effects is typically ignored. The aim …

cohort mortality risk on the money's worth. We demonstrate that cohort mortality risk is quantitatively important, and show … that it is not possible to identify the effect of a cohort mortality risk model from that of an adverse selection model … adverse selection in the annuity market. However, a regulated life assurer with concerns about predicting long-run mortality …

aggregate longevity risk. David Blake, Tom Boardman, Andrew Cairns and Kevin Dowd from the Pensions Institute at Cass Business …