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 …

this index. Firstly, the underlying variables of most existing longevity indices are based on mortality experience only … dependencies between ages and cohorts with a cohort-based stochastic mortality model. We achieve this by introducing age …-dependent model parameters. With our mortality model, we obtain realistic cohort correlation structures and improve the fitting …

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 …

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

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

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

provide transparent pricing for interest rate and mortality risk, the construction of optimally immunized bond portfolios and … mortality dependent bequest benefits payable on death …