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Develops longevity risk transfer strategies in finance, suggesting effectiveness depends on mortality models.
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.
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Carannante et al. (2026) studied this question.
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