This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized … the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life …

portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay … a range of assumptions for the longevity risk premium, the term to maturity of the hedging instruments, as well as the … size of the underlying annuity portfolio. The results compare the risk management benefits and costs of longevity …

then supposed to become larger and more heterogeneous. With respect to the insurer’s risk profile, there is a trade … more important issue that we address. In actuarial practice, the different mortality levels of the several risk classes are … model. We suggest adopting a frailty model for risk classification. We identify risk groups (or classes) within the …