City Research Online

Abstract

In this research, we develop longevity option and longevity swap de-risking strategies based on a frailty-based mortality model in order to obtain more effective longevity risk transfer by means of unbiased projections. The main findings show that when an appropriate de-risking strategy is not selected, the longevity risk transfer becomes ineffective. The suitable strategy, in turn, is strongly affected by the mortality model.

Publication Type:	Article
Additional Information:	© The Authors. Published by MDPI. This is an open-access article distributed under the terms of Creative Commons: Attribution International Public License 4.0 (http://creativecommons.org/licenses/by/4.0/).
Publisher Keywords:	longevityrisk; longevity risk transfer; frailty
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HF Commerce H Social Sciences > HN Social history and conditions. Social problems. Social reform
Departments:	Bayes Business School Bayes Business School > Faculty of Actuarial Science & Insurance
SWORD Depositor:	Symplectic Administrator

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