Due to the 2007-2008 financial crisis, risk management has been playing a central role for those who operate in both the financial and life markets. Pertaining the latter, agents must confront themselves with some peculiar forms of risk, such as the Longevity risk and the Lapse risk.
The aim of the present research project is to give new insights to the management of the aforementioned types of risk, adopting a quantitative approach, which takes into account different standpoints. On the one hand, by selecting suitable mortality forecasting models that produce a reliable measurement of Longevity risk, the research aims to analyze optimal hedging strategies, mixing internal and external strategies, also in the presence of lapse risk. On the other hand, the research aims to investigate why, and in what extent, the introduction of suitable financial instruments (typically derivatives) might be used to reduce and mitigate the exposure to such a form of uncertainty.
