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 researchers, policy makers and practitioners have talked about...

We propose a multi-cohort model that is able to capture the mortality correlation between different cohorts. The model is based on the Hull and White process to which we incorporate inter-generational risk factors, by modifying its stochastic part. We provide a pricing framework for a new...

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 researchers, policy makers and practitioners have talked about...

This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized by the uncertain level of the future liability compared to the initially foretasted or expected value. Herein we compute the solvency capital (SC) of an insurer selling such a...

An increasing number of empirical studies have shown a positive relationship between lifetime income and life expectancy at retirement. One's income during the active part of one's career translates into the amount of retirement benefits one might receive, leading to actuarial unfairness inside...

In arbitrage-free but incomplete markets, the equivalent martingale measure Q for pricing traded assets is not uniquely determined. A possible approach when it comes to choosing a particular pricing measure is to consider the one that is 'closest'to the physical probability measure P, where...

The regulation on the Belgian occupational pension schemes has been recently changed. The new law allows for employers to choose between two different types of guarantees to offer to their affiliates. In this paper, we address the question arising naturally: which of the two guarantees is the...