Abstract
This paper intends to ◦propose an asset/ liability manage ment approach t o control the aggregate risk for annuity providers or pension funds ◦develop an integrated model which can deal with in terest rate risk and longevity risk simultaneously ◦demonstrate that our proposed approach can lead to an optimal asset liability strategy which can effectively decreas the aggregate risk s o f annuity providers ◦longevity bond can be served as an efficient vehicle to hedge against longevity risk