Article2014

Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds

David P. Blake · Tom Boardman · Andrew J. G. Cairns

74 citations0/0 files storedNorth American Actuarial Journal

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Insurance, Mortality, Demography, Risk Management Insurance and Financial Risk Management Financial Literacy, Pension, Retirement Analysis

Abstract

Government-issued longevity bonds would allow longevity risk to be shared efficiently and fairly between generations. In exchange for paying a longevity risk premium, the current generation of retirees can look to future generations to hedge their systematic longevity risk. Longevity bonds will lead to a more secure pension savings market, together with a more efficient annuity market. By issuing longevity bonds, governments can aid the establishment of reliable longevity indices and key price points on the longevity risk term structure and help the emerging capital market in longevity-linked instruments to build on this term structure with liquid longevity derivatives.

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References

2004Insurance: Mathematics and Economics 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration 2009A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States 2001Survivor Bonds: Helping to Hedge Mortality Risk 2011Mortality density forecasts: An analysis of six stochastic mortality models 2006Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities 2004The Cohort Effect: Insights and Explanations 2010Evaluating the goodness of fit of stochastic mortality models

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