Standard annuities are offered at one price to all individuals of the same age and gender. Individual mortality heterogeneity exposes insurers to adverse selection since only relatively healthy lives are expected to purchase annuities. As a result standard annuities are priced assuming...

For many years, the longevity risk of individuals has been underestimated, as survival probabilities have improved across the developed world. The uncertainty and volatility of future longevity has posed significant risk issues for both individuals and product providers of annuities and...

Recent studies have analyzed optimal reinsurance contracts within the framework of profit maximization and/or risk minimization. This type of framework, however, does not consider reinsurance as a tool for capital management and financing. In the present paper, we consider different proportional...