Modelling mortality and longevity risk is critical to assessing risk for insurers issuing longevity risk products. It … unpredictability of an eventual mortality improvement in some age groups. When considering cause-of-death mortality rates, both …

factors have contributed to the recent decline in bond yields in the US. For that purpose, we start with a very general model … empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able … to establish a stable long-run relationship and find that the behaviour of bond rates in the last few years may well be …

rates for Switzerland. Combining both UIRP and EHTS in a model that allows for nonlinearities, we investigate whether the … Swiss advantage is disappearing with respect to Europe. Our results favour threshold cointegration and show that both … hypotheses hold, at least in one of the three regimes of the process for Switzerland/Germany. The same is not true between …