This paper assesses the impact of longevity risk management on insurer shareholder value and solvency for an annual portfolio. The analysis uses a multi-period stochastic mortality model with both systematic and idiosyncratic longevity risk. We consider both survivor, or longevity, swaps that...

This paper is motivated by the need to have appropriate tools for the valuation of mortality risks when carrying out an internal assessment of the insurance business, such as a portfolio valuation or a solvency investigation based on internal models. The case of life annuities is in particular...

This paper focuses on longevity risk, i.e. the risk coming from the random evolution of mortality at adult ages. Tools to face such risk when managing life annuities are discussed, namely capital allocation and risk transfers. With regard to the latter, taking example from traditional...