Delta-Gamma hedging of mortality and interest rate risk

► The paper models longevity risk via a stochastic intensity arrival for mortality. ► It provides conditions on the intensity under which no-arbitrage holds without being imposed. ► For intensities which generalize the Gompertz law, delta and gamma hedges are explicitly provided. ► Interest rate risk is hedged too. ► A calibration to a UK sample (for mortality and interest rate risk) follows.