Longevity Risk from the Perspective of the ILS Markets*
AbstractThis paper compares and contrasts the evolution of the longevity risk transfer market with the development of the Catastrophe Bond Market, more formally known as the Insurance Linked Securities (ILS) Market. The ILS market is small; the longevity market is potentially enormous. The ILS market has been around for some 15 years; the Longevity market less than 5 years. The ILS market has had a heterogeneous approach to loss measures; the longevity market has striven for homogeneity. The ILS market has used security, i.e. bond, structures; the longevity market uses derivative, i.e. swap, structures. Nearly all ILS transactions cover “event” risk; nearly all longevity structures are “aggregate”. The paper reflects on these and other differences and speculates on the nature of the two approaches.
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Bibliographic InfoArticle provided by Palgrave Macmillan in its journal The Geneva Papers on Risk and Insurance Issues and Practice.
Volume (Year): 36 (2011)
Issue (Month): 4 (October)
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Web page: http://www.palgrave-journals.com/
Postal: Palgrave Macmillan Journals, Subscription Department, Houndmills, Basingstoke, Hampshire RG21 6XS, UK
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- Huang, Yu-Lieh & Tsai, Jeffrey Tzuhao & Yang, Sharon S. & Cheng, Hung-Wen, 2014. "Price bounds of mortality-linked security in incomplete insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 30-39.
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