Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds

DOI10.1080/10920277.2014.883229zbMath1412.91033OpenAlexW2153136625MaRDI QIDQ5742674

David Blake, Tom Boardman, Andrew J. G. Cairns

Publication date: 15 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/6842/1/Sharing%20longevity%20Risk.pdf

zbMATH Keywords

term structurelongevity bondslongevity risk sharing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE, Tail index-linked annuity: A longevity risk sharing retirement plan, Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds, Longevity risk and capital markets: the 2015--16 update, Do actuaries believe in longevity deceleration?, The Annuity Puzzle and an Outline of Its Solution, Editorial: Longevity risk and capital markets: the 2013--14 update, Optimal dynamic longevity hedge with basis risk, Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy, Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets, Longevity risk and capital markets: the 2019--20 update, The economics of sharing macro-longevity risk, Longevity Risk and Capital Markets: The 2017–2018 Update, An Efficient Method for Mitigating Longevity Value-at-Risk

Cites Work

• Evaluating the goodness of fit of stochastic mortality models
• Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States