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Longevity Risk from the Perspective of the ILS Markets*

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  • Morton Lane

    () (Lane Financial LLC, 1420 Sheridan Road, Wilmette, IL 60091, U.S.)

Abstract

This 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.

Suggested Citation

  • Morton Lane, 2011. "Longevity Risk from the Perspective of the ILS Markets*," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 501-515, October.
  • Handle: RePEc:pal:gpprii:v:36:y:2011:i:4:p:501-515
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    Cited by:

    1. 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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