Securitization of Longevity and Mortality Risk
This paper deals with Alternative Risk Transfer (ART) through the securitization of longevity and mortality risks in pension plans and commercial life insurance. Various types of such mortality-linked securities are described (e.g., CATM bonds, longevity bonds, mortality forwards and futures, and mortality swaps). Pricing methods and real examples are given. Hypothetical calculations concerning the pricing of potential mortality forwards that correspond to the evolution of longevity in the Czech Republic are presented.
Volume (Year): 60 (2010)
Issue (Month): 6 (December)
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- David Blake & Andrew Cairns & Kevin Dowd & Richard MacMinn, 2006. "Longevity Bonds: Financial Engineering, Valuation, and Hedging," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 647-672.
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- Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Longevity risk in portfolios of pension annuities," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 505-519, April.
- Blake, David & Boardman, Tom & Cairns, Andrew, 2010. "Sharing longevity risk: Why governments should issue longevity bonds," MPRA Paper 34184, University Library of Munich, Germany. Full references (including those not matched with items on IDEAS)
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