The design and development of post-retirement income products require the assessment of longevity risk, as well as a basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort-based value index for life insurers and pension funds to manage...

Longevity risk is one of the remaining frontiers challenging modern financial markets and financial engineering. Financial innovation has yet to successfully master this very significant risk facing many countries internationally. For well over a hundred years this risk has been the domain of...