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 …

Participating longevity-linked life annuities (PLLA) in which benefits are updated periodically
based on the observed survival experience of a given underlying population and the …

In this paper we show that the fair value of a pure longevity-linked life annuity can be
decomposed into a traditional fixed annuity and a basket of European-style longevity (call …

Participating longevity-linked life annuities (PLLA) are an interesting solution to manage
systematic longevity risk in markets in which alternative risk management solutions are …

The presence of systematic risk in mortality forecasts, known as longevity risk, has called for
the introduction of longevity instruments and their market development. Management of …

This paper contributes to the discussion about mandatory participation in collective funded
pension schemes. It explores under what circumstances individual participants exercise the …

Proposed by Chan, Li, and Li, parametric mortality indexes (ie, indexes created using the
time-varying parameters in a suitable stochastic mortality model) can be used to develop …

As life expectancy increases, pension plans face growing longevity risk. Standardized
longevity-linked securities such as survivor contracts allow pension plans to transfer this risk …

This paper tackles the problem of approximating the distribution of future biometric indices
under a cohort-based perspective. Unlike period-based evaluations, cohort-based schemes …

We propose a new weighting function, generalized Wang transform, derived from normality
invariance. This function takes various shapes, including concave, convex, S-shaped and …