Longevity Risk
Still Living with Mortality: The Longevity Risk Transfer Market after One Decade
... basis risk turns out not to require exact matching of the national population ...because longevity risk is becoming better understood and its volatility and correlation with other asset classes is ...
87
Longevity risk and capital markets: The 2009 2010 update
... market longevity swap was executed in July ...insurer’s longevity exposure to 125,000 annuitants. The longevity risk was fully transferred to investors, which included hedge funds and ...
14
Longevity Risk and Capital Markets: The 2013-14 Update
... in longevity risk transference had been ...EIB/BNP/PartnerRe longevity bond did not attract sufficient investor interest and was withdrawn in late ...
30
Longevity Risk and Capital Markets: The 2013-14 Update
... in longevity risk transference had been ...EIB/BNP/PartnerRe longevity bond did not attract sufficient investor interest and was withdrawn in late ...
30
Longevity Risk and Capital Markets: The 2010-2011 Update
... market longevity swap was executed in July ...insurer’s longevity exposure to 125,000 annuitants. The longevity risk was fully transferred to investors, which included hedge funds and ...
15
Longevity Risk and Capital Markets: The 2014-15 Update
... the Longevity Experience Option ...and Longevity Markets Association longevity ...allow longevity risk to be transferred between pension funds, insurance companies and ...bespoke ...
21
Longevity Risk and Capital Markets: The 2015-16 Update
... the longevity risk transfer business in the ...billion longevity reinsurance agreement with the Prudential Insurance Company of America in June ...
44
Measuring Longevity Risk for a Canadian Pension Fund
... to longevity risk. Given that longevity improvements are superior among the elderly and that pension plans are mostly affected by declines in mor- tality rates at older ages, the financial impact of ...
32
Liability-driven investment in longevity risk management
... Various longevity-linked instruments have been proposed for the manage- ment of longevity risk; see ...mortality risk ex- posures in pensions or life insurance liabilities [10, 12, 11, 15, 25, ...
15
On The Longevity Risk Assessment Under Solvency II
... the longevity assessment under the new solvency directive as it allows for a more realistic description of the mortality characteristics specific to ...real longevity risk profile of the insurance ...
10
The Research on the Influence of Longevity Risk on Defined Benefit Pension Plan
... plan, longevity risk means that future payment increases due to the unexpected decrease of participants’ average mortality, which is significant to the operation of pension ...the longevity ...
17
Hedging Longevity Risk in Life Settlements Using Biomedical Research-Backed Obligations
... for longevity risk have steadily evolved over the years (we refer to Blake et ...existing longevity-linked securities differ among each other in their explicit forms, they are in general designed ...
26
Still living with mortality: The longevity risk transfer market after one decade
... the Longevity Basis Risk Working Group (2014) of the Institute & Faculty of Actuaries (IFoA) and LLMA published Longevity Basis Risk: A Methodology for Assessing Basis ...assess ...
81
Longevity risk modeling, securities pricing and other related issues
... and longevity risk is precisely to be able to handle such outliers as the 1918 flu ...or longevity rate, then there would be no interest in longevity or mortality derivatives to be introduced ...
119
Longevity Risk Securitization of Housing Reverse Mortgages in Future China
... on longevity risk securitization of reverse mortgages, the majority of which were introducing foreign innovative financial ...of longevity risk market, Da (2008,3 ) pointed out that reverse ...
90
Modelling a Dutch Pension Fund’s Capital Requirement for Longevity Risk
... provisions minus the best estimate of the PPL [7]. The best estimate of the PPL is the PPL based on the best estimate projection of future mortality, i.e. the most probable development of future mortality probabilities. ...
8
Further Results about Calibration of Longevity Risk for the Insurance Business
... of longevity risk changing with the different consi- dered ages ...the longevity shock highlighted by the empirical evidences ...a risk measurement system developed by an insurer to analyse ...
5
Longevity Risk and Hedging Solutions
... of longevity and mortality indices calculated according to a rigorous set of rules that has been used by many market participants for developing hedging instruments, forecasting future mortality, pricing ...
49
Sharing longevity risk: Why governments should issue longevity bonds
... 6% risk premium when calculating their ...of risk factors associated with annuity provision, the most significant being non-hedgeable longevity ...the longevity risk faced by ...
28
Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds
... unanticipated longevity improvements through the issuance of longevity bonds is – or at least could be – well ...a longevity risk premium from issuing the ...the risk premium proves to ...
48