Informed Intermediation of Longevity Exposures

Posted: 8 May 2010

See all articles by David P. Blake

David P. Blake

City, University of London

Enrico Biffis

Imperial College Business School

Multiple version iconThere are 2 versions of this paper

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

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

David P. Blake

City, University of London ( email )

106 Bunhill Row
London, EC1Y 8TZX
Great Britain
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HOME PAGE: http://www.pensions-institute.org/

Enrico Biffis (Contact Author)

Imperial College Business School ( email )

Imperial College London
South Kensington campus
London, SW7 2AZ
United Kingdom

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