The huge economic significance of longevity risk for corporations, governments, and
individuals has begun to be recognized and quantified. By virtue of its size and prevalence …

We analyze the importance of longevity risk for the solvency of portfolios of pension
annuities. We distinguish two types of mortality risk. Micro-longevity risk quantifies the risk …

Most of the western world has seen a steady increase in the average lifetime of its
inhabitants over the past century. Although the past trends suggest that further changes in …

Abstract This Special Issue of Insurance: Mathematics and Economics contains 16
contributions to the academic literature all dealing with longevity risk and capital markets …

This paper updates Living with Mortality published in 2006. It describes how the longevity
risk transfer market has developed over the intervening period, and, in particular, how …

This paper proposes a stochastic mortality model featuring both permanent longevity jump
and temporary mortality jump processes. A trend reduction component describes …

Using data for six OECD countries over the period 1950–2006, this paper studies the impact
of macroeconomic fluctuations and cause of death trends on mortality dynamics in the Lee …

In general, the capital requirement under Solvency II is determined as the 99.5% Value-at-
Risk of the Available Capital. In the standard model's longevity risk module, this Value-at …

Stochastic modeling of mortality rates focuses on fitting linear models to logarithmically
adjusted mortality data from the middle or late ages. Whilst this modeling enables insurers to …

The method of mortality forecasting proposed by Lee and Carter describes a time series of
age‐specific log‐death rates as a sum of an independent of time age‐specific component …