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 …

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

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 …

This work provides an investigation of the presence of spatial variability in the determinants
of mortality rates. Specifically, by using the age‐adjusted mortality rates of the counties of the …

The COVID-19 pandemic interrupts the relatively steady trend of improving longevity
observed in many countries over the last decades. We claim that this needs to be addressed …

A key contribution to the development of the traded market for longevity risk was the
issuance of the Kortis bond, the world's first longevity trend bond, by Swiss Re in 2010. We …

This paper presents and applies models for the valuation and management of mortality-
contingent exposures. Such exposures include insurance and pension benefits, as well as …

We present a model of a longevity risk transfer market with different market players (primary
insurers, reinsurers, and capital market investors) and investigate how market dynamics and …

This special issue of the Journal of Demographic Economics contains 10 contributions to the
academic literature all dealing with longevity risk and capital markets. Draft versions of the …

This paper provides a flexible way to address some ongoing challenges in mortality
modeling, with a special focus on the mortality curvature and possible mortality plateau for …