文章基本信息

标题：Mortality-Linked Securities and Derivatives
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作者：Enrico Biffis ; David Blake
期刊名称：Discussion Paper / The Pensions Institute
印刷版ISSN：1367-580X
出版年度：2009
卷号：2009
出版社：Pensions Institute
摘要：In the last few years, the risk of mortality improvements has become increasingly capital intensive for pension funds and annuity providers to manage. The reason is that longevity risk has been systematically underestimated, making balance sheets vulnerable to unexpected increases in liabilities. The traditional way of transferring longevity risk is through insurance and reinsurance markets. However, these lack the capacity and liquidity to support an estimated global exposure in excess of $20tr (e.g., Loeys et al., 2007). Capital markets, on the other hand, could play a very important role, offering additional capacity and liquidity to the market, leading in turn to more transparent and competitive pricing of longevity risk.