For annuity providers, longevity risk, ie the risk that future mortality trends differ from those
anticipated, constitutes an important risk factor. In order to manage this risk, new financial …

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 …

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 and calibrates a consistent multi-factor affine term structure mortality
model for longevity risk applications. We show that this model is appropriate for fitting …

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 …

We extend the lifecycle model (LCM) of consumption over a random horizon (also known as
the Yaari model) to a world in which (i) the force of mortality obeys a diffusion process as …

In this paper, we analyze the latest guarantee feature in the variable annuities market:
guaranteed minimum withdrawal benefits for life (GMWB for life) which are also called …

We illustrate how multistate Markov and semi-Markov models can be used for the actuarial
modeling of health insurance policies, focusing on health insurances that are pursued on a …

Upcoming new regulation on regulatory required solvency capital for insurers will be
predominantly based on a one-year Value-at-Risk measure. This measure aims at covering …