Longevity-linked derivatives are one of the most important longevity risk management
solutions for pension schemes and life annuity portfolios. In this paper, we decompose …

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 …

We introduce a new modelling framework to explain socio-economic differences in mortality
in terms of an affluence index that combines information on individual wealth and income …

This article considers the assessment of longevity basis risk in the context of a general index-
based hedge. We develop a detailed framework for measuring the impact of a hedge on …

A little over a decade ago, a new asset class emerged, one linked to longevity risk, ie,
unanticipated changes in life expectancy. The Life Market has two segments: a macro …

We investigate and model how the mortality of Danish males aged 55-94 has changed over
the period 1985-2012. We divide the population into ten socio-economic subgroups using a …

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 …