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

Risk insurance for disasters plays a relevant part in the implementation of risk reduction
strategies during the pre-disaster phase. This is essential to support risk management …

We introduce a multi‐cohort continuous time affine mortality model and, along with an affine
arbitrage‐free term structure model, determine implied market prices of longevity risk in the …

Annuities providers become more and more exposed to longevity risk due to the increase in
life expectancy. To hedge this risk, new longevity derivatives have been proposed (longevity …

This special issue of the Journal of Demographic Economics contains 10 contributions to the
academic literature all dealing with longevity risk and capital markets. Draft versions of the …

Abstract We propose new Unconditional, Independence and Conditional Coverage VaR-
forecast backtests for the case of annuity pricing under a Bayesian framework that …

Longevity risk and related capital market solutions have grown increasingly important in
recent years, both in academic research and in the markets we refer to as the Life Market …

To mitigate the hedger's longevity risk exposure, this paper proposes a collective longevity
swap between a reinsurer (hedge provider) and a group of hedgers (pension plans and …

Longevity risk and related capital market solutions have grown increasingly important in
recent years, both in academic research and in the markets we refer to as the life market, ie …

Defined benefit (DB) pension plans are a primary type of pension schemes with the sponsor
assuming most of the risks. Longevity-indexed bonds have been used to hedge or transfer …