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

When hedging longevity risk with standardized contracts, the hedger needs to calibrate the
hedge carefully so that it can effectively reduce the risk. In this article, we present a …

Modeling mortality co-movements for multiple populations have significant implications for
mortality/longevity risk management. A few two-population mortality models have been …

Two-population stochastic mortality models play a crucial role in the securitization of
longevity risk. In particular, they allow us to quantify the population basis risk when longevity …

Recently Cairns et al. introduced a general framework for modeling the dynamics of mortality
rates of two related populations simultaneously. Their method ensures that the resulting …

This paper incorporates mortality shocks in the scenarios for future mortality rates produced
by a stochastic multi‐population mortality model. Hereto, the proposed model combines a …

We propose a new neighbouring prediction model for mortality forecasting. For each
mortality rate at age x in year t, mx, t, we construct an image of neighbourhood mortality data …

Multipopulation mortality models play an important role in longevity risk transfers involving
more than one population. Most of the existing multi‐population mortality models are built on …

In this paper, we carry out an investigation on modelling basis risk and measuring risk
reduction in a longevity hedge constructed by index-based longevity swaps. We derive the …

Vine copula, constructed from bivariate copulas, provides great flexibility in modelling
complex high-dimensional dependence. When applied to multi-population mortality …