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Systematic mortality risk, i.e. the risk of unexpected changes in mortality and survival rates, can substantially impact a life insurers' risk and solvency situation. By using the “natural hedge” between life insurance and annuities, insurance companies have an effective tool for reducing their net‐exposure. The purpose of this paper is to analyze this risk management tool and to quantify its effectiveness in hedging against changes in mortality with respect to default risk measures.

To achieve this goal, the paper models the insurance company as a whole and takes into account the interaction between assets and liabilities. Systematic mortality risk is considered in two ways. First, systematic mortality risk is modeled using scenario analyses and, second, empirically observed changes in mortality rates for the last 10‐15 years are used.

The paper demonstrates that the consideration of both the asset and liability side is vital to obtain deeper insight into the impact of natural hedging on an insurer's risk situation and shows how to reach a desired safety level while simultaneously immunizing the portfolio against changes in mortality rates.

The paper contributes to the literature by considering the insurance company as a whole in a multi‐period setting and taking into account both, assets and liabilities, as well as their interaction. Furthermore, the paper shows how to obtain a desired safety level while simultaneously immunizing a portfolio against changes in default risk.

The purpose of this paper is to present a clear path to securitize the longevity risk with two distinct swaps in order to inspire a new Chinese life market.

Studies on longevity risk securitization consist of three aspects, respectively, instrument design, pricing methodology and mortality projection. The swaps designed are referenced, respectively, to vanilla and complex survivor swaps (Dowd et al., 2006; Lin and Cox, 2005). Methods applied are RHH model and Gompertz law for mortality projection, as well as two-factor Wang transformation for pricing.

This paper figures out the market price of risk in Chinese annuity market, checks for the sensitivity of the price to parameters and tests the hedging effects by Monte Carlo simulation.

Based on the theoretical and numerical results, this paper suggests an effective way to possibly witness the birth of New Life Market in China.

Bodies with responsibilities for paying pensions to individuals face a mortality risk in that the pensioners may prove longer lived than expected. The significant scale and uncertainity of this risk is becoming increasingly clear. Various measures are available to control this risk and new innovations such as mortality linked bonds and derivatives have been proposed. The purpose of this paper is to evaluate the alternative methods of controlling morality risk and discuss their potential policy implications.

The paper considers the various parties affected by mortaling risk and assesses the difficulties of predicting mortality. Different methods of predicting mortality are discussed. Policy issues are considered and conclusions presented.

There is a huge demand for methods of hedging and trading mortality risk. Financial markets are responding to this with a number of insurers moving into the bulk annuity market. New products, such as survivor bands and mortality derivatives, are just appearing in the market, it is still to be seen whether this major financial problem will be best be solved by the financial markets or by government intervention.

The paper offers an evaluation of the alternative methods of controlling mortality risk together with the potential policy implications.

The purpose of this paper is to examine the influence of offence type, prior imprisonment and various socio-demographic characteristics on mortality at 28 and 365 days following prison release.

Using whole-population linked, routinely collected administrative state-based imprisonment and mortality data, the authors conducted a retrospective study of 12,677 offenders released from Western Australian prisons in the period 1994-2003. Cox proportional hazards regression was used to examine the association between mortality at 28 and 365 days post-release and offence type, prior imprisonment, and a range of socio-demographic characteristics (age, gender, social disadvantage and Indigenous status).

Overall, 135 (1.1 per cent) died during the 365 days follow-up period, of these, 17.8 per cent (n=24) died within the first 28 days (four weeks) of their index release. Ex-prisoners who had committed drug-related offences had significantly higher risk of 28-day post-release mortality (HR=28.4; 95 per cent CI: 1.3-615.3, p=0.033), than those who had committed violent (non-sexual) offences. A significant association was also found between the number of previous incarcerations and post-release mortality at 28 days post-release, with three prior prison terms carrying the highest mortality risk (HR=73.8; 95 per cent CI: 1.8-3,092.5, p=0.024). No association between mortality and either offence type or prior imprisonment was seen at 365 days post-release.

Post-release mortality at 28 days was significantly associated with offence type (with drug-related offences carrying the greatest risk) and with prior imprisonment, but associations did not persist to 365 days after release. Targeting of short-term transitional programmes to reduce preventable deaths after return to the community could be tailored to these high-risk ex-prisoners.

Although coresidence with children when one becomes old is an ideal in Chinese society, the drastic socio-economic development in Taiwan has brought some fundamental changes to living arrangements of the elderly population. The purpose of this paper is to examine the relationship between family living arrangements and elderly health in Taiwan, given the secular trend of more elderly persons choosing to live with their spouse or to live independently.

The authors utilized panel data from the “1989 Survey of Health and Living Status of the Elderly in Taiwan” with follow-ups up to 2007 to examine how living arrangements of the elderly affect the risk of mortality using discrete-time hazard models. The authors stratified the analyses by the elderly’s preference to coreside with children, and examined whether the effects of living arrangement varied by age, controlling for sociodemographics, health status, health behaviors, and social relationships observed at the baseline.

The authors found that both the associations of living arrangements and coresidence preference with that mortality risk were largely weakened when controlling for other variables. Only among respondents expressing preference for coresidence were living arrangements associated with mortality risks, and these effects increased with age. For those who did not intend to live with children, the authors found no evidence suggesting living arrangements were associated with mortality risks. The dynamics of living arrangements among the elderly and elderly care policies in Taiwan are discussed for further research.

To the authors knowledge, no previous research has examined living arrangements and mortality risks with respect to coresidence preference.

The purpose of this paper is to review the conceptual and methodological challenges of a J-shaped association between alcohol consumption (AC), coronary heart disease (CHD) and all-cause mortality. In associated papers in this journal, Skovenborg et al., 2021 reviews the evidence for the J-shaped curve, and Ellison et al., 2021 examines the advantages and drawbacks of Mendelian randomization studies of the J-shaped curve.

A number of methodological problems are common in observational research in general, and some of the methodological problems suggested for the J-shaped alcohol-CHD-associations are discussed. The extent of the methodological problems in studies of the J-shaped curve is reviewed, and the possibility that the J-shaped curve is an artifact created by reverse causality and residual confounding is discussed. Further, the issue of interaction with drinking pattern and type of alcohol is discussed.

Imprecise categorization of alcohol intake information seems to have had little effect on the J-shaped alcohol-CHD-associations, nor has it affected the ability of these studies to show increasing mortality from a range of causes with increasing AC. The problem of “sick quitters” has been resolved by large studies using lifelong abstainers or infrequent drinkers as reference group. Many studies lack information on drinking patterns with regard to regular, moderate consumption versus binge drinking. Stratified analyses by important risk factors for CHD have not significantly changed the J-shaped association observed in most epidemiologic studies.

Potential biases and residual confounding probably do not overcome the J-shaped alcohol-CDH-association observed in most epidemiologic studies; however, the existence of a J-shaped curve is challenged by some degree of uncertainty. The actual review together with the associated papers by Skovenborg et al., 2021 and Ellison et al., 2021 offers a possibility to “update your priors” and achieve greater certainty when giving your patients information on the pros and cons of alcohol intake.

The purpose of this paper is to develop a model to hedge annuity portfolios against increases in life expectancy. Across the globe, and in the industrial nations in particular, people have seen an unprecedented increase in their life expectancy over the past decades. The benefits of this apply to the individual, but the dangers apply to annuity providers. Insurance companies often possess no effective tools to address the longevity risk inherent in their annuity portfolio. Securitization can serve as a substitute for classic reinsurance, as it also transfers risk to third parties.

This paper extends on methods insurer's can use to hedge their annuity portfolio against longevity risk with the help of annuity securitization. Future mortality rates with the Lee-Carter-model and use the Wang-transformation to incorporate insurance risk are forecasted. Based on the percentile tranching method, where individual tranches are aligned to Standard & Poor's ratings, we price an inverse survivor bond. This bond offers fix coupon payments to investors, while the principal payments are at risk and depend on the survival rate within the underlying portfolio.

The contribution to the academic literature is threefold. On the theoretical side, building on the work of Kim and Choi (2011), we adapt their pricing model to the current market situation. Putting the principal at risk instead of the coupon payments, the insurer is supplied with sufficient capital to cover additional costs due to longevity. On the empirical side, the method for the German market is specified. Inserting specific country data into the model, price sensitivities of the presented securitization model are analyzed. Finally, in a case study, the procedure to the annuity portfolio of a large German life insurer is applied and the price of hedging longevity risk is calculated.

To illustrate the implication of this bond structure, several sensitivity tests were conducted before applying the pricing model to the retail sample annuity portfolio from a leading German life insurer. The securitization structure was applied to calculate the securitization prices for a sample portfolio from a large life insurance company.

The findings contribute to the current discussion about how insurers can face longevity risk within their annuity portfolios. The fact that the rating structure has such a severe impact on the overall hedging costs for the insurer implies that companies that are willing to undergo an annuity securitization should consider their deal structure very carefully. In addition, we have pointed out that in imperfect markets, the retention of the equity tranche by the originator might be advantageous. Nevertheless, one has to bear in mind that by this behavior, the insurer is able to reduce the overall default risk in his balance sheet by securitizing a life insurance portfolio; however, the fraction of first loss pieces from defaults increases more than proportionally. The insurer has to take care to not be left with large, unwanted remaining risk positions in his books.

In this paper, we extend on methods insurer's can use to hedge their annuity portfolio against longevity risk with the help of annuity securitization. To do so, we take the perspective of the issuing insurance company and calculate the costs of hedging in a four-step process. On the theoretical side, building on the work of Kim and Choi (2011), we adapt their pricing model to the current market situation. On the empirical side, we specify the method for the German market. Inserting specific country data into the model, price sensitivities of the presented securitization model are analyzed.

Using data from the linked National Health Interview Survey National Death Index (NHIS‐NDI), a new and unique data set, we examine the interaction of age and self‐rated health as a predictor of overall and cause‐specific mortality. Proponents of wear and tear theories argue that as the body ages, it begins to degenerate, leaving the aged in poor health and vulnerable to their ultimate mortality. We find that although the majority of the elderly rate their health as good or better, low levels of education and income contribute to poor perceived health, and the effect of age on mortality varies by level of perceived health. While the oldest old who report the poorest health experience greater risks of mortality, elders who report good health experience much lower risks. As a larger share of our population survives into old age, it is important to emphasize preventive health care policy, as well as strong economic and health care safety nets, not only to promote health but also to lengthen life.

Two strands of the literature are combined, namely the modeling of disability insurance and the design, valuation and discussion of insurance-linked securities.

This paper provides a discussion regarding the advantages and detriments of disability-linked securities in comparison with mortality-linked bonds and swaps as well as regarding potential disability-linked indices and the potential use. The discussion is followed by an introduction of a potential design and a corresponding valuation of disability bonds and swaps.

This securitization will provide useful tools for the risk management of disability risk in a risk-based regulatory framework.

No disability-linked securities have been defined and discussed so far.

The rapid deterioration of the earth’s natural ecosystems are increasing the risk of human morbidity and mortality worldwide. Hydrometeorological hazards are concentrating contaminants from the damaged environment and exposing large vulnerable populations to life threating illnesses and death. This study performed a retrospective health risk assessment on two recent events where such impacts unfolded, namely, the 2015 south east Equatorial Asia smoke haze disaster and the 2016 Melbourne thunderstorm asthma epidemic. The purpose of this paper is to test if the characterisation of health risk warranted earlier and more effective risk reduction activities prior to the disasters occurring.

A retrospective health risk characterisation assessment was performed combing United Nations International Strategy for Disaster Risk Health Aspect in Disaster Risk Assessment (2017) framework with a thematic and targeted word literature review to identify the level of risk knowledge prior to each event. A risk characterisation matrix was then created to characterise the health risk of each hazard event.

The 2015 south east Equatorial Asia smoke haze disaster risk assessment was characterised as “extreme” health risk and the 2016 Melbourne thunderstorm asthma epidemic was characterised as “high” health risk.

Reaching the goals of the Sendai Framework require strategies and plans which urgently address the catastrophic level of mortality risk posed by exposure to environmental contaminants.

Innovative approaches and partnerships are necessary to mitigate the risk from the deteriorating health of the environment and natural ecosystems, along with disaster response initiatives that reduce exposure of vulnerable people on a large scale.