S. Acar and K. Natcheva-acar, A guide on the implementation of the heath-jarrow-morton twofactorgaussain short rate model, 2009.

P. Barrieu and L. Albertini, The handbook of insurance-linked securities, 2009.
DOI : 10.1002/9781119206545

P. Barrieu, H. Bensusan, N. Karoui, C. Hillairet, S. Loisel et al., Understanding, modelling and managing longevity risk: key issues and main challenges, Scandinavian Actuarial Journal, vol.8, issue.2, pp.203-231, 2012.
DOI : 10.1007/s00285-008-0202-2

H. Bensusan, Risques de taux et de longévité: Modélisation dynamique et applications aux produits dérivés et à l'assurance vie, 2010.

E. Biffis, D. Blake, L. Pitotti, and A. Sun, The cost of counterparty risk and collateralization in longevity swaps, 2011.

E. Biffis and P. Millossovich, Optimal Insurance with Counterparty Default Risk, SSRN Electronic Journal, 2012.
DOI : 10.2139/ssrn.1634883

D. Blake, A. J. Cairns, and K. Dowd, Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities, British Actuarial Journal, vol.115, issue.01, pp.153-197, 2006.
DOI : 10.1111/j.1539-6975.2006.00195.x

A. J. Cairns, D. Blake, and K. Dowd, A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration, Journal of Risk & Insurance, vol.10, issue.4, pp.687-718, 2006.
DOI : 10.2143/AST.33.1.1039

A. J. Cairns, D. P. Blake, K. Dowd, G. Coughlan, and D. Epstein, A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States, North American Actuarial Journal, vol.8, issue.1, pp.1-35, 2007.
DOI : 10.1080/10920277.2009.10597538

R. Ferrière and V. C. Tran, Stochastic and deterministic models for age-structured populations with genetically variable traits, ESAIM: Proceedings, vol.27, 2009.
DOI : 10.1051/proc/2009033

D. Heath, R. Jarrow, and A. Morton, BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION, Econometrica, vol.60, issue.1, pp.77-105, 1992.
DOI : 10.1142/9789812819222_0013

R. Lee and T. Miller, Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality, Demography, vol.38, issue.4, pp.537-549, 2001.
DOI : 10.1353/dem.2001.0036

R. D. Lee and L. R. Carter, Modeling and forecasting US mortality, Journal of the American Statistical Association, vol.87, issue.419, pp.659-671, 1992.

S. Loisel and X. Milhaud, From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital, European Journal of Operational Research, vol.214, issue.2, pp.348-357, 2011.
DOI : 10.1016/j.ejor.2011.04.038
URL : https://hal.archives-ouvertes.fr/hal-00746268

F. Menoncin, The role of longevity bonds in optimal portfolios, Insurance: Mathematics and Economics, vol.42, issue.1, pp.343-358, 2008.
DOI : 10.1016/j.insmatheco.2007.05.001

T. L. Nguyen, Risque financier en assurance, variables annuities et risque long terme, 2011.

R. Rebonato, Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options, 1998.

Y. Salhi and S. Loisel, Longevity basis risk modeling: A co-integration based approach, Tech. rep, 2011.

O. Vasicek, An equilibrium characterization of the term structure, Journal of Financial Economics, vol.5, issue.2, pp.177-188, 1977.
DOI : 10.1016/0304-405X(77)90016-2