Longevity risk threatens the financial stability of private and government sponsored defined benefit pension systems as well as social security schemes, in an environment already characterized by persistent low interest rates and heightened financial uncertainty. The mortality experience of...

The risk profile of an insurance company involved in annuity business is heavily affected by the uncertainty in future mortality trends. It is problematic to capture accurately future survival patterns, in particular at retirement ages when the effects of the rectangularization phenomenon and...

Purpose The improvements of longevity are intensifying the need for capital markets to be used to manage and transfer the risk through longevity-linked securities. Nevertheless, the difference between the reference population of the hedging instrument and the population of members of a pension...