IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko

Listed author(s):
  • Bohm, Thomas
  • Waldvogel, Felix
Registered author(s):

    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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    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.

    in new window

    Date of creation: 2012
    Handle: RePEc:zbw:bayfat:201202
    Contact details of provider: Postal:
    Universitätsstraße 30, 95440 Bayreuth

    Web page:

    More information through EDIRC

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    in new window

    1. Kevin Dowd & David Blake & Andrew J. G. Cairns & Paul Dawson, 2006. "Survivor Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(1), pages 1-17.
    2. Stéphane Loisel, 2010. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00517902, HAL.
    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, vol. 3(1), pages 1-18, September.
    5. Cannon, Edmund & Tonks, Ian, 2008. "Annuity Markets," OUP Catalogue, Oxford University Press, number 9780199216994.
    6. Cox, Samuel H. & Fairchild, Joseph R. & Pedersen, Hal W., 2000. "Economic Aspects of Securitization of Risk," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 30(01), pages 157-193, May.
    7. Kevin Dowd, 2003. "Survivor Bonds: A Comment on Blake and Burrows," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(2), pages 339-348.
    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, vol. 73(4), pages 687-718.
    10. 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.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:zbw:bayfat:201202. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.