especially its aggregate form, i.e. the risk of unsystematic changes to general mortality patterns, bears a large potential for … contingent on actual mortality experience, and it also details actuarial aspects of implementation. Similar adaptations to …

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 …

-based longevity swap and a cap are analyzed in this paper under a tractable stochastic mortality model. The model is calibrated using … Australian mortality data and analytical formulas for prices of longevity derivatives are provided. Hedge effectiveness is …

especially its aggregate form, i.e. the risk of unsystematic changes to general mortality patterns, bears a large potential for … contingent on actual mortality experience, and it also details actuarial aspects of implementation. Similar adaptations to …

life annuity, indexed life annuity and variable annuity with guaranteed lifetime benefits. Improved market and mortality … model for GDP, inflation, interest rates and share prices. The mortality model is a discrete time logit model for mortality … population mortality was based on UK experience. Results show that static hedging using q-forwards or longevity bonds reduce …