文章基本信息

标题：Securitization, Structuring and Pricing of Longevity Risk
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作者：Samuel Wills ; Michael Sherris
期刊名称：Discussion Paper / The Pensions Institute
印刷版ISSN：1367-580X
出版年度：2008
卷号：2008
出版社：Pensions Institute
摘要：Pricing and risk management for longevity risk has increasingly become a ma- jor challenge for life insurers and pension funds around the world. Risk transfer to ¯nancial markets, with their major capacity for e±cient risk pooling, is an area of signi¯cant development for a successful longevity product market. The structur- ing and pricing of longevity risk using modern securitization methods, common in ¯nancial markets, has yet to be successfully implemented for longevity risk manage- ment. There are many issues that remain unresolved in order to ensure the successful development of a longevity risk market. This paper considers the securitization of longevity risk focussing on the structuring and pricing of a longevity bond using techniques developed in the ¯nancial markets, particularly for mortgages and credit risk. A model based on Australian mortality data and calibrated to insurance risk linked market data is used to assess the structure and market consistent pricing of a longevity bond. Age dependence in the securitized risks is shown to be a critical factor in structuring and pricing longevity linked securitizations.
关键词：Longevity risk, securitization