examined under a hypothetical life annuity portfolio subject to longevity risk. The paper presents various hedging features …-based longevity swap and a cap are analyzed in this paper under a tractable stochastic mortality model. The model is calibrated using … Australian mortality data and analytical formulas for prices of longevity derivatives are provided. Hedge effectiveness is …

The design and development of post-retirement income products require the assessment of longevity risk, as well as a … basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort …-based value index for life insurers and pension funds to manage longevity risk. There are two innovations in the development of …

stochastic mortality risk driven by jumps, unspanned labor income as well as short-sale and liquidity constraints and a simple … insurance. I compare models with deterministic and stochastic hazard rate of death to a model without mortality risk. Mortality … risk has only minor effects on the optimal controls early in the life cycle but it becomes crucial in later years. A …