In this article, we examine the so-called natural hedging approach for life insurers to
internally manage their longevity risk exposure by adjusting their insurance portfolio. In …

Longevity risk constitutes an important risk factor for insurance companies and pension
plans. For its analysis, but also for evaluating mortality-contingent structured financial …

Two of the most important challenges for the application of stochastic mortality models in life
insurance practice are their complexity and their apparent incompatibility with classical life …

Increasing life expectancy and thus decreasing mortality rates constitute a global trend that
can be observed in almost all countries worldwide. Estimating the current rate at which …

Longevity risk has emerged as an important risk in the early 21st century for the providers of
pension benefits and annuities. Any changes in the assumptions for future mortality rates …

Many users of mortality models are interested in using them to place values on longevity-
linked liabilities and securities. Modern regulatory regimes require that the values of …

Demographic projections of future mortality rates involve a high level of uncertainty and
require stochastic mortality models. The current paper investigates forward mortality models …

In this note, we examine the so-called “natural hedging” approach for life insurers to
internally manage their longevity risk exposure by adjusting their insurance portfolio. In …

Forward mortality rates Page 1 Longevity 10 conference – Santiago, Chile 3 September 2014
Andrew Hunt and David Blake andrew.hunt.1@cass.city.ac.uk Forward mortality rates Page 2 …