it offers higher expected benefits with lower expected shortfalls. Requiring unisex mortality tables in annuity pric …

Heterogeneity in mortality rates is known to exist in populations, undermining the use of age and sex as the only … on an assumption that lives will self select and price the longevity risk with an annuity mortality table that assumes … in population mortality is required. This paper applies well established frailty models and more recently developed …

-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 …

This paper examines the distributional implications of mandatory longevity insurance when there is mortality … alternative annuity programs in the presence of differential mortality across groups. This paper embeds that analysis into a life … is welfare enhancing even for those individuals with much higher-than-average expected mortality rates, so long as …