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Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund?

Author

Listed:
  • Edouard Debonneuil

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Anne Eyraud-Loisel

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Frédéric Planchet

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

Abstract

Pension funds that handle retirement risk need to invest assets in a diversified manner, on long durations and if possible while facing interest rate and longevity risk. In the recent years, a new class of investment called a longevity megafund was described, that invests in clinical trials for solutions against age-related diseases. Using simple models, we here study the financial interest for pension funds of investing in a longevity megafund.

Suggested Citation

  • Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet, 2018. "Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund?," Post-Print hal-01571937, HAL.
    • Handle: RePEc:hal:journl:hal-01571937
    Note: View the original document on HAL open archive server: https://hal.science/hal-01571937v3
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    References listed on IDEAS

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    Cited by:

    1. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.

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