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 …

During 2008 and 2009, the insurance industry experienced unprecedented volatility. The
large swings in insurers' market valuations, and the significant role that financial reporting …

Government-issued longevity bonds would allow longevity risk to be shared efficiently and
fairly between generations. In exchange for paying a longevity risk premium, the current …

We provide a self-contained analysis of a class of continuous-time stochastic mortality
models that have gained popularity in the last few years. We describe some of their …

We argue that insurance can act as an analogon for the social situatedness of machine
learning systems, hence allowing machine learning scholars to take insights from the rich …

In this paper, we investigate the fair valuation of insurance liabilities in a dynamic multi-
period setting. We define a fair dynamic valuation as a valuation which is actuarial (mark-to …

This paper proposes a Conditional Value-at-Risk Minimization (CVaRM) approach to
optimize an insurer's product mix. By incorporating the natural hedging strategy of Cox and …

ABSTRACT A general class of fair valuations which are both market-consistent (mark-to-
market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is …

As populations in countries around the world age, governments, corporations, and
individuals face increasing longevity risk. Pay-as-you-go state pensions and corporate …

We develop a theory for valuing non-diversifiable mortality risk in an incomplete market by
assuming that the company issuing a mortality-contingent claim requires compensation for …