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Governments and the Market for Longevity-Indexed Bonds

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  • Pablo Antolín
  • Hans J. Blommestein

Abstract

Uncertainty about length of life, longevity risk, is a growing financial problem for pension funds and annuity providers. They would like to transfer longevity risk away to institutions better placed to deal with it. Unfortunately, there is a lack of financial instruments to hedge against this longevity risk, thereby complicating risk management by pension funds and hindering the expansion of the annuity market. Consequently, this paper examines the role of government in... Le gouvernement et le marché pour les titres indexés sur la longévité L'incertitude sur la durée de vie, le risque de longévité, est un problème financier croissant pour les fonds de pension et les fournisseurs de rentes viagères. Ils préfèrent transférer ce risque aux institutions les plus préparées pour les absorber. Malheureusement, il y a un manque d'instruments financiers afin d'avoir une couverture contre le risque de longévité. Cette situation complique le management du risque et empêche l’expansion du marché de la rente viagère. Par conséquent, ce document étudie le rôle...

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File URL: http://dx.doi.org/10.1787/260561411283
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Bibliographic Info

Paper provided by OECD Publishing in its series OECD Working Papers on Insurance and Private Pensions with number 4.

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Date of creation: Jan 2007
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Handle: RePEc:oec:dafaab:4-en

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Keywords: hedging; longevity-indexed bonds; indices; longevity index; pension fund; Uncertainty; financial instruments; longevity risk; annuities; DB and DC plans; viager; plans de pension de prestation définie et contributive; risque de longévité; fonds de pension; index de longévité; incertitude; rente; instruments financiers; titres indexés à la longévité; index;

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Cited by:
  1. Tomas Cipra, 2010. "Securitization of Longevity and Mortality Risk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 545-560, December.
  2. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
  3. Benoît Coeuré, 2007. "Normes comptables et gestion de la dette publique," Revue d'Économie Financière, Programme National Persée, Programme National Persée, vol. 89(3), pages 101-110.
  4. David Blake & Christophe Courbage & Richard MacMinn & Michael Sherris, 2011. "Longevity Risk and Capital Markets: The 2010–2011 Update," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan, vol. 36(4), pages 489-500, October.
  5. Blake, David & Boardman, Tom & Cairns, Andrew, 2010. "Sharing longevity risk: Why governments should issue longevity bonds," MPRA Paper 34184, University Library of Munich, Germany.
  6. Roy, Amlan, 2012. "Innovative Approaches to Managing Longevity Risk in Asia: Lessons from the West," ADBI Working Papers, Asian Development Bank Institute 353, Asian Development Bank Institute.
  7. Bohm, Thomas & Waldvogel, Felix, 2012. "Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking.

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