Informed Intermediation of Longevity Exposures
Posted: 8 May 2010
There are 2 versions of this paper
Informed Intermediation of Longevity Exposures
Number of pages: 24
Posted: 18 Nov 2012
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209
Date Written: November 16, 2009
Abstract
This study examines pension buyout transactions and longevity risk securitization in a common framework, emphasizing the role played by asymmetries in capital requirements and mortality forecasting technology. The results are used to develop a coherent model of intermediation of longevity exposures, between defined benefit pension schemes and capital market investors, through insurers operating in the pension buyout market. A multi-period version of the model is used to explore the effects of longevity securitization on the capacity of the pension buyout market.
Suggested Citation: Suggested Citation
Blake, David P. and Biffis, Enrico, Informed Intermediation of Longevity Exposures (November 16, 2009). CAREFIN Research Paper No. 17/09, Available at SSRN: https://ssrn.com/abstract=1600199
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