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Governments and the Market for Longevity-Indexed Bonds

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Author Info
Pablo Antolín
Hans Blommestein

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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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Publisher Info
Paper provided by OECD, Directorate for Financial and Enterprise Affairs 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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Related research
Keywords: Annuities; DB and DC plans; financial instruments; hedging; indices; longevity index; longevity risk; longevity-indexed bonds; pension fund; Uncertainty; fonds de pension; incertitude; index de longévité; index; instruments financiers; plans de pension de prestation définie et contributive; rente; risque de longévité; titres indexés à la longévité; viager;

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Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
D8 - Microeconomics - - Information, Knowledge, and Uncertainty
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions
G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends and Forecasts
J26 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Retirement; Retirement Policies

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  1. Pauline Barrieu & Harry Bensusan & Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Claudia Ravanelli & Yahia Salhi, 2009. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Working Papers hal-00417800_v1, HAL. [Downloadable!]
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