Affine processes for dynamic mortality and actuarial valuations

We address the risk analysis and market valuation of life insurance contracts in a jump-diffusion setup. We exploit the analytical tractability of affine processes to deal simultaneously with financial and demographic risks affecting a wide range of insurance covers. We then focus on mortality at pensionable ages and show how the risk of longevity can be taken into account. A parallel with the pricing of certain credit risky securities is drawn, in order to employ important results derived in that field. (c) 2005 Elsevier B.V. All rights reserved.