Blake, David and Brockett, Patrick and Cox, Samuel and MacMinn, Richard (2011): Longevity risk and capital markets: The 2009-2010 update.
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This Special Issue of the North American Actuarial Journal contains ten contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity Five: the Fifth International Longevity Risk and Capital Markets Solutions Conference that was held in New York on 25-26 September 2009. It was hosted by J. P. Morgan and St John’s University and organized by the Pensions Institute at Cass Business School, London, and the Edmondson-Miller Chair at Illinois State University.
|Item Type:||MPRA Paper|
|Original Title:||Longevity risk and capital markets: The 2009-2010 update|
|Keywords:||Longevity Risk; Capital Market|
|Subjects:||G - Financial Economics > G2 - Financial Institutions and Services > G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors|
|Depositing User:||David Blake|
|Date Deposited:||21. Feb 2011 00:38|
|Last Modified:||15. Feb 2013 03:50|
Antolin, P. and Blommestein, H. (2007) “Governments and the Market for Longevity-Indexed Bonds”, Organisation for Economic Cooperation and Development Working Papers on Insurance and Private Pensions, No. 4, OECD Publishing, Paris.
Barbarin, J. (2008). ‘Heath–Jarrow–Morton Modelling of Longevity Bonds and the Risk Minimization of Life Insurance Portfolios’, Insurance: Mathematics and Economics 43: 41-55.
Bauer, D. (2006) “An Arbitrage-free Family of Longevity Bonds”, University of Ulm.
Bauer, D., and Ruβ, J. (2006) “Pricing Longevity Bonds using Implied Survival Probabilities”, University of Ulm.
Bauer, D., Börger, M., and Ruβ, J. (2010). “On the Pricing of Longevity-Linked Securities”, Insurance: Mathematics and Economics 46: 139-149.
Biffis, E., Denuit, M., and Devolder, P. (2009) “Stochastic Mortality under Measure Changes”, Pensions Institute Discussion Paper PI-0512 (forthcoming in Scandinavian Actuarial Journal).
Biffis, E., and Blake, D. (2010), “Securitizing and Tranching Longevity Exposures”, Insurance: Mathematics and Economics 46: 186-197.
Blake, D. and W. Burrows (2001). “Survivor Bonds: Helping to Hedge Mortality Risk”, Journal of Risk and Insurance 68(2): 339-48.
Blake, D., Cairns, A.J.G., Dowd, K. and MacMinn, R. (2006) “Longevity Bonds: Financial Engineering, Valuation and Hedging”, Journal of Risk and Insurance 73: 647-72.
Blake, D., Dowd, K., and Cairns, A.J.G. (2008) “Longevity Risk and the Grim Reaper’s Toxic Tail: The Survivor Fan Charts”, Insurance: Mathematics and Economics 42:1062-1068.
Blake, D., and Harrison, D. (2008) And Death Shall Have No Dominion: Life Settlements and the Ethics of Profiting from Mortality, Pensions Institute Report, July.
Blake, D., Boardman, T., and Cairns, A. (2010) “Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds”, Pensions Institute Discussion Paper PI-1002.
Brouhns, N., Denuit, M., and Vermunt, J. K. (2002) “A Poisson Log-Bilinear Regression Approach to the Construction of Projected Lifetables”, Insurance: Mathematics and Economics 31: 373–393.
Brockett, P., Deng, Y. and MacMinn, R. (2010) “Longevity/Mortality Risk Modeling and Securities Pricing,” The University of Texas.
Cairns, A.J.G., Blake, D, and Dowd K. (2006) “A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration”, Journal of Risk and Insurance 73: 687-718.
Cairns, A.J.G., D. Blake, K. Dowd, G.D. Coughlan, D. Epstein, and M. Khalaf-Allah (2008a) “Mortality Density Forecasts: An Analysis of Six Stochastic Mortality Models”, Pensions Institute Discussion Paper PI-0801 (forthcoming in Insurance: Mathematics & Economics).
Cairns, A.J.G., D. Blake, K. Dowd (2008b) “Modelling and Management of Mortality Risk: A Review”, Scandinavian Actuarial Journal, 2008, 2-3, 79-113.
Cairns, A.J.G., D. Blake, K. Dowd, G.D. Coughlan, D. Epstein, A. Ong, and I. Balevich (2009) “A Quantitative Comparison of Stochastic Mortality Models using Data from England & Wales and the United States”, North American Actuarial Journal 13: 1-35.
Chen, H., and Cummins, J. D. (2010) “Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing”, Insurance: Mathematics and Economics 46: 150-161.
Coughlan, G., Epstein, D., Sinha, A., and Honig. P. (2007) q-Forwards: Derivatives for Transferring Longevity and Mortality Risks. Available at www.lifemetrics.com
Cowley, A., and Cummins, J. D. (2005) “Securitization of Life Insurance Assets and Liabilities”, Journal of Risk & Insurance 72: 193-226. .
Cox, S. H., and Lin, Y. (2007) “Natural Hedging of Life and Annuity Mortality Risks”, North American Actuarial Journal 11: 1-15.
Cox, S. H., Lin, Y., and Pedersen, H. (2010) “Mortality Risk Modeling: Applications to Insurance Securitization”, Insurance: Mathematics and Economics 46: 242-253.
Dahl, M. (2004) “Stochastic Mortality in Life Insurance: Market Reserves and Mortality-linked Insurance Contracts”, Insurance: Mathematics and Economics 35: 113-136.
Dahl, M., and Møller, T. (2006) “Valuation and Hedging of Life Insurance Risks with Systematic Mortality Risk”, Insurance: Mathematics and Economics 39: 193-217.
Dawson, P., Blake, D., Cairns, A.J.G., Dowd, K. (2010) “Survivor Derivatives: A Consistent Pricing Framework”, Journal of Risk and Insurance 77: 579-96.
Denuit, M. M. (2009) “An Index for Longevity Risk Transfer”, Journal of Computational and Applied Mathematics 230: 411-417.
Denuit, M. M., Devolder, P., and Goderniaux, A. (2007) “Securitization of Longevity Risk: Pricing Survivor Bonds with Wang Transform in the Lee-Carter Framework”, Journal of Risk and Insurance 74: 87-113.
Dowd, K., Blake, D., Cairns, A.J.G., Dawson, P. (2006), “Survivor Swaps”, Journal of Risk & Insurance 73: 1-17.
Dowd, K., Cairns, A.J.G., Blake, D., Coughlan, G.D., Epstein, D., and Khalaf-Allah, M. (2008) “Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of Multi-Period-Ahead Density Forecasts”, Pensions Institute Discussion Paper PI-0803.
Friedberg, L., and Webb, A. (2007) “Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk”, B.E. Journal of Economic Analysis & Policy 7(1): Article 31.
Gong, G. and Webb, A. (2010) “Evaluating the Advanced Life Deferred Annuity: An Annuity People Might Actually Buy”, Insurance: Mathematics and Economics 46: 210-221.
Hari, N., De Waegenaere, A., Melenberg, B., Nijman, T. (2008) “Estimating the Term Structure of Mortality”, Insurance: Mathematics & Economics 42: 492-504. International Monetary Fund (2006) The Limits of Market-based Risk Transfer and Implications for Managing Systemic Risks, Washington DC.
Jarner, S. F., and Kryger, E. M. (2009) “Modelling Adult Mortality in Small Populations: The Saint Model”, Pensions Institute Discussion Paper PI-0902.
Kogure, A., and Kurachi, Y. (2010) “A Bayesian Approach to Pricing Longevity Risk Based on Risk-neutral Predictive Distributions”, Insurance: Mathematics and Economics 46: 162-172.
Lin, Y. and Cox, S. (2005) “Securitization of Mortality Risks in Life Annuities”, Journal of Risk & Insurance 72: 227-252.
Milevsky, M.A., and Promislow, S.D. (2001) “Mortality Derivatives and the Option to Annuitize”, Insurance: Mathematics and Economics 29: 299-318. Pension Commission (2005) A New Pension Settlement for the Twenty-First Century, HMSO, Norwich.
Plat, R. (2009) “On Stochastic Mortality Modeling”, Insurance: Mathematics and Economics 45: 393-404. Renshaw, A. E., and Haberman, S. (2006) “A Cohort-Based Extension to the Lee-Carter Model for Mortality Reduction Factors”, Insurance: Mathematics and Economics 38: 556–70.
Stevens, R., De Waegenaere, A. and Melenberg, B. (2010), “Longevity Risk in Pension Annuities with Exchange Options: The Effect of Product Design”, Insurance: Mathematics and Economics 46: 222-234.
Tsai, J., Wang, J., and Tzeng, L. (2010) “On the Optimal Product Mix in Life Insurance Companies using Conditional Value at Risk”, Insurance: Mathematics and Economics 46: 235-241. United Nations (2007). World Population Prospects: The 2006 Revision, New York: United Nations.
Wang, J.L., Huang, H.C., Yang, S.S. and Tsai, J.T. (2009). “An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach”, Journal of Risk and Insurance, forthcoming.
Wills, S., and Sherris, M. (2010) “Securitization, Structuring and Pricing of Longevity Risk”, Insurance: Mathematics and Economics 46: 173-185. World Economic Forum (2009) Financing Demographic Shifts, World Economic Forum, Geneva.
Yang, S. S., Yue, J., and Huang, H.-C. (2010), “Modeling Longevity Risks using a Principal Component Approach: A Comparison with Existing Stochastic Mortality Models”, Insurance: Mathematics and Economics 46: 254-270.