Modelling Longevity Bonds: Analysing the Swiss Re Kortis Bond

Pensions Institute, DISCUSSION PAPER PI-1504, 2015

58 Pages Posted: 23 Jun 2020

See all articles by Andrew Hunt

Andrew Hunt

City University London - Sir John Cass Business School

David P. Blake

City, University of London

Date Written: May 2015

Abstract

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

Hunt, Andrew and Blake, David P., Modelling Longevity Bonds: Analysing the Swiss Re Kortis Bond (May 2015). Pensions Institute, DISCUSSION PAPER PI-1504, 2015, Available at SSRN: https://ssrn.com/abstract=3613670 or http://dx.doi.org/10.2139/ssrn.3613670

Andrew Hunt

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

David P. Blake (Contact Author)

City, University of London ( email )

106 Bunhill Row
London, EC1Y 8TZX
Great Britain
+44 (0) 20-7040-8600 (Phone)
+44 (0) 20-7040-8881 (Fax)

HOME PAGE: http://www.pensions-institute.org/

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
14
Abstract Views
141
PlumX Metrics