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Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko

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  • Bohm, Thomas
  • Waldvogel, Felix
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    Abstract

    Die demografische Entwicklung unterstreicht die hohe Relevanz des sog. Langlebigkeitsrisikos für Altersvorsorgeeinrichtungen. Außerbörsliche Kapitalmarktinstrumente sind eine relativ neue potenzielle Form zur Absicherung gegen das Langlebigkeitsrisiko. Im Beitrag werden theoretisch und empirisch Produktdesignkriterien für Langlebigkeitsinstrumente und deren Basisobjekte erarbeitet, die Grundlage für die Etablierung eines weitgehend liquiden außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko sind. Zudem soll der Bedarf für einen solchen Kapitalmarkt in Deutschland analysiert werden. Für die empirische Kontrolle wurde eine Umfrage durchgeführt. Es zeigt sich, dass Langlebigkeitsinstrumente nur Differenzausgleiche abdecken und Cashflow-Ausgleiche gewähren sollten und eine langfristige Ausgestaltung erforderlich ist. Dabei werden die reine Verbriefung des Langlebigkeitsrisikos und die Verwendung kumulativer Überlebensindizes als Basisobjekte bevorzugt. Zur Standardisierung sollten die Überlebensindizes auf Bevölkerungsgruppen beruhen, die nach sozioökonomischen Faktoren zur Basisrisikominimierung weiter untergliedert werden. Von hoher Relevanz ist zudem die Unabhängigkeit der Anbieter von Überlebensindizes. -- The demographic development in recent decades reveals the high importance of longevity risk for pension funds. Under these circumstances longevity instruments that serve as OTC capital market instruments to hedge against longevity risk are a relatively new and potential hedging form. It is the aim of this paper to compile both theoretical and empirical criteria of product design for longevity instruments and their basic underlying. Product design fulfillment is the basis for the establishment of a vast liquid OTC capital market for longevity risk. Moreover, the necessity for an OTC market for longevity risk in Germany is analyzed. For the empirical control a survey was conducted. The essential findings of the theoretical and empirical analysis are that longevity instruments should only cover cash settlements and cash flow compensations should be granted. Furthermore, a long-term design is required. Pure securitization of longevity risk and the use of cumulative survival indices are preferred as underlying objects. For standardization purposes survival indices should be based on population groups that are divided by socio-economic factors in order to minimize basis risk. The independence of the survival index providers is of high relevance as well.

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    Paper provided by University of Bayreuth, Chair of Finance and Banking in its series Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) with number 2012-02.

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    Date of creation: 2012
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    Handle: RePEc:zbw:bayfat:201202

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    1. Pauline Barrieu & Harry Bensusan & Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Claudia Ravanelli & Yahia Salhi, 2012. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00417800, HAL.
    2. Blake, David & Dowd, Kevin & Cairns, Andrew J.G., 2008. "Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1062-1066, June.
    3. Pablo Antolin & Hans J. Blommestein, 2007. "Governments and the Market for Longevity-indexed Bonds," Financial Market Trends, OECD Publishing, vol. 2007(1), pages 153-175.
    4. Wang Jennifer L. & Yang Sharon S., 2008. "Pricing and Implementation of Longevity Bonds in Taiwan," Asia-Pacific Journal of Risk and Insurance, De Gruyter, De Gruyter, vol. 3(1), pages 1-18, September.
    5. Cannon, Edmund & Tonks, Ian, 2008. "Annuity Markets," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780199216994, October.
    6. Kevin Dowd, 2003. "Survivor Bonds: A Comment on Blake and Burrows," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 70(2), pages 339-348.
    7. Kevin Dowd & David Blake & Andrew J. G. Cairns & Paul Dawson, 2006. "Survivor Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 73(1), pages 1-17.
    8. Blake, David & Boardman, Tom & Cairns, Andrew, 2010. "Sharing longevity risk: Why governments should issue longevity bonds," MPRA Paper 34184, University Library of Munich, Germany.
    9. Andrew J. G. Cairns & David Blake & Kevin Dowd, 2006. "A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 73(4), pages 687-718.
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