Articlegreen2006

Longevity Bonds: Financial Engineering, Valuation, and Hedging

David P. Blake · Andrew J. G. Cairns · Kevin Dowd · Richard D. MacMinn

179 citations0/0 files storedJournal of Risk & Insurance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Insurance, Mortality, Demography, Risk Management Insurance and Financial Risk Management Stochastic processes and financial applications

Abstract

Abstract This article examines the main characteristics of longevity bonds (LBs) and shows that they can take a large variety of forms which can vary enormously in their sensitivities to longevity shocks. We examine different ways of financially engineering LBs and consider problems arising from the dearth of ultra‐long government bonds and the choice of the reference population index. The article also looks at valuation issues in an incomplete markets context and finishes with an examination of how LBs can be used as a risk management tool for hedging longevity risks.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 179 citations exist upstream.

References

2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration 1998Risk management, capital budgeting, and capital structure policy for financial institutions: An integrated approach 1996Premium Calculation by Transforming the Layer Premium Density 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks 2004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk 2001Mortality derivatives and the option to annuitise 2005Securitization of Mortality Risks in Life Annuities

Cited by

2013Lifecycle Portfolio Choice With Systematic Longevity Risk and Variable Investment—Linked Deferred Annuities 2009On the pricing of longevity-linked securities 2009Modeling Mortality With Jumps: Applications to Mortality Securitization 2009A Quantitative Comparison of Stochastic Mortality Models Using Data from England & Wales and the United States 2013The New Life Market

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.