This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, provide more effective...

Stochastic mortality models have been developed for a range of applications from demographic projections to financial management. Financial risk based models built on methods used for interest rates and apply these to mortality rates. They have the advantage of being applied to financial pricing...

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...