On Risk Management of Mortality and Longevity Capital Requirement: A Predictive Simulation Approach
In the insurance sector, life insurers must meet capital requirements to avoid insolvency risks, especially during events like the COVID‑19 pandemic. Risk management and risk mitigation are crucial. This paper presents an efficient simulation method, a thin‑plate regression spline, as an alternative to nested simulations, to explore hedging strategies using mortality‑linked securities and stochastic mortality dynamics. The results justify the use of mortality‑linked securities in risk management and risk mitigation for capital associated with mortality and longevity.