then projected forward under stochastic financial markets and stochastic mortality developments. Different scenarios are … proposed, with particular focus on a prolonged period of low interest rates and strong reduction in mortality rates. Results … underlying financial market conditions and mortality developments drastically change. This feature could be of particular …

A tontine provides a mortality driven, age-increasing payout structure through the pooling of mortality. Because a …

may either choose to receive annuity payouts, calculated based on a mortality table agreed to at contract inception, or … receive the accumulated capital as a lump sum. Considering stochastic mortality improvements, such an option could be of … substantial value. Whenever mortality improves less than originally expected, the policyholder will choose the lump sum and buy an …

of this paper is to quantify longevity risk in portfolios of mortality-linked assets and liabilities, taking into account …

This paper proposes and calibrates a consistent multi-factor affine term structure mortality model for longevity risk … applications. We show that this model is appropriate for fitting historical mortality rates. Without traded mortality instruments … the choice of risk-neutral measure is not unique and we fit it to observed historical mortality rates in our framework. We …

portfolio. The analysis uses a multi-period stochastic mortality model with both systematic and idiosyncratic longevity risk. We …