This paper studies the problem of an insurance company that has to decide whether to expand her portfolio of policies selling contracts written on a foreign population. We quantify diversification across populations and cohorts using a parsimonious continuous-time model for longevity risk. We present a calibrated example, based on annuity portfolios of UK and Italian males aged 65–75. We show that diversification gains, evaluated as the reduction in the portfolio risk margin following the international expansion, can be non-negligible.
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