-based longevity swap and a cap are analyzed in this paper under a tractable stochastic mortality model. The model is calibrated using … examined under a hypothetical life annuity portfolio subject to longevity risk. The paper presents various hedging features … exhibited by a longevity swap and a cap based on different assumptions underlying the market price of longevity risk, the term …

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 … annuity products. Within the Solvency II framework, we capture the mortality of policyholders by the mean of the Hull …