Annuities providers become more and more exposed to longevity risk due to the increase in life expectancy. To hedge … this risk, new longevity derivatives have been proposed (longevity bonds, q-forwards, S-swaps…). Although academic … propose a Cost of Capital approach. Our method is designed to be more consistent with Solvency II requirement (longevity risk …

In this paper I assess the effect of interest rate risk and longevity risk on the solvency position of a life insurer … suggest that interest rate risk is by far the greatest threat for life insurers, whereas longevity risk can be more easily …

This paper investigates the effects of a rise in interest rate and lapse risk of endowment life insurance policies on …