文章基本信息

标题：Informed intermediation of longevity exposures
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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：2012
卷号：2012
出版社：Pensions Institute
摘要：We examine pension buyout transactions and longevity risk securitization in a common framework, emphasizing the role played by asymmetries in capital requirements and mortality forecasting technology. The results are used to develop a coherent model of intermediation of longevity exposures, between defined benefit pension schemes and capital market investors, through insurers operating in the pension buyout market. We derive several predictions consistent with the recent empirical evidence on pension buyouts, and offer insights on the role of buyout firms and regulation in the emerging market for longevity-linked securities. A multi-period version of the model is used to explore the effects of longevity risk securitization on the capacity of the pension buyout market and on buyout prices.