文章基本信息

标题：Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers
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作者：David Blake ; Enrico Biffis
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：The recent activity in pension buyouts and bespoke longevity swaps suggests that a significant process of aggregation of longevity exposures is under way, led by major investment banks and buyout firms with the support of leading reinsurers. As regulatory capital charges and limited reinsurance capacity constrain the scope for market growth, there is now an opportunity for institutions that are pooling longevity exposures to issue securities that appeal to capital market investors, thereby broadening the sharing of longevity risk and increasing market capacity. For this to happen, longevity exposures need to be suitably pooled and tranched to maximize diversification benefits offered to investors and to address asymmetric information issues. We argue that a natural way for longevity risk to be transferred is through suitably designed principal-at-risk bonds.