Longevity Risk and Capital Markets: The 2015-16 Update

Pensions Institute, Working Paper No. 1704

44 Pages Posted: 26 Oct 2017

See all articles by David P. Blake

David P. Blake

City, University of London

Nicole El Karoui

Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees

Richard D. MacMinn

National Chengchi University; The University of Texas

Stéphane Loisel

University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA)

Date Written: September 27, 2017

Abstract

This Special Issue of Insurance: Mathematics and Economics contains 16 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity 11: The Eleventh International Longevity Risk and Capital Markets Solutions Conference that was held in Lyon, France on 8-9 September 2015. It was hosted by Institut de Science Financière et d'Assurance (ISFA), Université Lyon 1, Lyon, and co-hosted by Laboratoire de Science Financière et d'Assurances, Lyon; Laboratoire de Probabilités et Modéles Aléatoires, Université Pierre et Marie Curie, Paris; Pensions Institute, Cass Business School, City University of London, UK; and the LoLitA (Longevity with Lifestyle Adjustments) ANR research project team. It was sponsored by Prudential Financial, SCOR, Société Générale Corporate and Investment Banking, the Society of Actuaries (SOA), EY, Milliman, Reinsurance Group of America, Aon Benfield, Guy Carpenter, PRIM’ACT, and SINALYS.

Suggested Citation

Blake, David P. and El Karoui, Nicole and MacMinn, Richard D. and Loisel, Stéphane, Longevity Risk and Capital Markets: The 2015-16 Update (September 27, 2017). Pensions Institute, Working Paper No. 1704, Available at SSRN: https://ssrn.com/abstract=3058645 or http://dx.doi.org/10.2139/ssrn.3058645

David P. Blake (Contact Author)

City, University of London ( email )

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Nicole El Karoui

Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees ( email )

Palaiseau Cedex, 91128
France
(33) 1 69 33 41 48 (Phone)
(33) 1 69 33 70 31 (Fax)

Richard D. MacMinn

National Chengchi University ( email )

Taipei
Taiwan

The University of Texas ( email )

2317 Speedway
Austin, TX Texas 78712
United States

Stéphane Loisel

University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA) ( email )

50, Avenue Tony Garnier
Lyon Cedex 07, 69366
France

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