This paper analyzes an individual’s post retirement longevity risk management strategy allowing for systematic … longevity risk, recent product innovations, and product loadings. A complete-markets discrete state model and multi … systematic and idiosyncratic longevity risk. Portfolios include: fixed life annuities, deferred annuities, inflation …

In this paper I assess the effect of interest rate risk and longevity risk on the solvency position of a life insurer … 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 …

provide transparent pricing for interest rate and mortality risk, the construction of optimally immunized bond portfolios and … longevity risk arising from the prevalence of defined contribution pensions, uncertainty in improvements in life expectancy … manage individual longevity risk is the life annuity. Annuity markets remain thin, driven by many factors including lack of …

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 …

This paper proposes an innovative retirement product with a focus on longevity risk sharing, a contract we refer to as … of longevity risk), and a reduced, index-dependent payment when the threshold is passed (i.e., highly unfavorable … evolution of longevity risk). The proposed TILA aims at not only improving the benefits of the policyholders, which has been the …

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as … investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …

result in a reduction in expected costs and equivalence premiums. However, due to the different impact of longevity risk on …, time restrictions reduce the duration of the provider’s liability, which should therefore be less exposed to financial risk … time frames for life annuity arrangements, first addressing longevity risk only, and then including also financial risk …

more important issue that we address. In actuarial practice, the different mortality levels of the several risk classes are … then supposed to become larger and more heterogeneous. With respect to the insurer’s risk profile, there is a trade … obtained by applying adjustment coefficients to population mortality rates. Such a choice is not supported by a rigorous model …

This paper proposes a unified framework for measuring and managing longevity risk. Specifically, we develop a flexible … framework is essentially independent of the assumed underlying dynamics and the choice of method for risk neutralization and … relies only on the ability to simulate from the risk neutral process. We provide an application to derivatives on the …