Modelling Longevity Bonds: Analysing the Swiss Re Kortis Bond
Pensions Institute, DISCUSSION PAPER PI-1504, 2015
58 Pages Posted: 23 Jun 2020
Date Written: May 2015
A key contribution to the development of the traded market for longevity risk was the issuance of the Kortis bond, the world’s first longevity trend bond, by Swiss Re in 2010. We analyse the design of the Kortis bond, develop suitable mortality models to analyse its payoff and discuss the key risk factors for the bond. We also investigate how the design of the Kortis bond can be adapted and extended to further develop the market for longevity risk.
Keywords: Mortality Modelling, Age/Period/Cohort Models, General Procedure, Co-integration, Cohort Effects, Kortis Bond
JEL Classification: C15, C32, G13
Suggested Citation: Suggested Citation