LLMA attempts to stimulate longevity market with pricing framework


The Life and Longevity Markets Association (LLMA) has released a framework for pricing general longevity derivatives, in the hope of making the market more accessible to participants on both the hedging and investment sides of the transaction.

The industry body presents an approach to pricing the securities, based on a recipe of adjusting the nominal cash flows for the historical mortality, its expected improvement and a risk premium, then taking an average over a suitable scenario set.

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