We consider longevity risk hedging problems, where survivor swaps are available as hedging instruments. As objective … estimated probability law governing the mortality dynamics. To be robust against estimation inaccuracy, we optimize the worst …

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is … governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To … do so we assume that the mortality intensity is almost surely bounded under the statistical measure. Further, we restrict …