We propose a multi-cohort model that is able to capture the mortality correlation between different cohorts. The model …

capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs of … reasonable market price of longevity risk, the market cost of hedging longevity risk for earlier ages is lower than the cost of … capital required under Solvency II. Longevity swaps covering higher ages, around 90 and above, have higher market hedging …

capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs of … reasonable market price of longevity risk, the market cost of hedging longevity risk for earlier ages is lower than the cost of … capital required under Solvency II. Longevity swaps covering higher ages, around 90 and above, have higher market hedging …