Longevity Risk (2nd Edition)
First published:
ISBN: 9781782723882
If you are a Risk.net subscriber you are entitled to 20% off your Risk books purchases. Please email enquiries@riskbooks.com for more information.
As part of your Risk.net subscription you are entitled to 20% off all of your Risk Books purchases. If you would like to place an order please email enquiries@riskbooks.com
Capital Markets and Longevity Risk Transfer
Guy Coughlan and Pretty Sagoo
Foreword
Introduction
Ageing Populations and Changing Demographics
Determinants of Changes in Life Expectancy
Magnitude of the Longevity Issue
Pricing Longevity Risk: Establishing the Base Mortality Level
An Introduction to Credibility Theory
Projecting Future Mortality
Modelling Longevity Risk under a One-Year VaR Framework
Risk Transfer for Pension Schemes
De-Risking Insured Annuity Portfolios
Hedging Longevity Risk through Reinsurance
Commercial Aspects of Longevity Reinsurance
Extreme Mortality Risk as a Natural Hedge?
Capital Markets and Longevity Risk Transfer
Longevity Indices
Longevity Policy Committee
Legal Considerations and Challenges in Longevity Risk Transactions
Pensions and Longevity in the US
Canadian Pensioner Longevity Risk
The Dutch Pensions and Longevity Insurance Market
Longevity risk – the risk that life spans exceed expectation – has been the focus of much attention for defined-benefit pension plans and life insurers with large annuity portfolios. Until 2008, the only way to mitigate longevity risk was via an insurance solution: a transaction in which pension plans typically bought annuities from, or sold their liabilities to, insurers that then bought reinsurance. In 2008 this began to change, when the first capital markets solutions for longevity risk management were executed by Lucida and Canada Life in the UK. Both transactions were significant catalysts for the development of the longevity risk transfer market, bringing additional capacity, flexibility and transparency to complement existing insurance solutions. Since then, the longevity market has transformed and has been subject to a rollercoaster of twists and turns. In this chapter we shall look at the major developments, especially with regards to non-standard longevity insurance, and the drivers of that market. The topics we shall cover are:
-
-
summary of the longevity market;
-
-
-
market participants;
-
-
-
methods of hedging longevity;
-
-
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
