Levantesi, Susanna; Menzietti, Massimiliano - In: Risks : open access journal 5 (2017) 2, pp. 1-21
Longevity risk constitutes an important risk factor for life insurance companies, and it can be managed through longevity-linked securities. The market of longevity-linked securities is at present far from being complete and does not allow finding a unique pricing measure. We propose a method to...