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Article

Index-Based Longevity Swaps: The Next Big Thing?

Andrew Gaches
Special Issues Fall 2012, 2012 (1) 64-68
Andrew Gaches
is a partner and longevity consultant at Hymans Robertson in London, UK.
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  • For correspondence: andrew.gaches@hymans.co.uk
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Abstract

2011 was a record year for U.K. pension schemes using longevity swaps to de-risk, with over £7 billion of liabilities being transferred from schemes to banks, insurers, and reinsurers. While the pension de-risking market has blossomed since its inception three years ago, schemes have faced restricted options to transfer longevity risk specifically.

All but one of the longevity risk transactions to date has been “bespoke,” based on the pension scheme’s own specific longevity experience. While providing a precise hedge, these transactions have limitations and have been the preserve of large, well-resourced schemes. A new solution is needed for the market to develop and broaden to smaller schemes. Recent innovations in the “index-based” longevity swap market, enabling scheme-specific tailoring, has signaled a potential solution to this barrier and merits further consideration.

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Special Issues: 2012 (1)
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Index-Based Longevity Swaps: The Next Big Thing?
Andrew Gaches
Special Issues Sep 2012, 2012 (1) 64-68;

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Index-Based Longevity Swaps: The Next Big Thing?
Andrew Gaches
Special Issues Sep 2012, 2012 (1) 64-68;
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  • Article
    • Abstract
    • THE ARRIVAL OF LONGEVITY SWAPS
    • BESPOKE LONGEVITY SWAPS
    • INDEX-BASED LONGEVITY SWAPS
    • WHAT’S THE BARRIER TO INDEX-BASED LONGEVITY SWAPS?
    • NATIONAL POPULATIONS VERSUS PENSION SCHEMES
    • DIFFERENT SUBPOPULATIONS, DIFFERENT TRENDS
    • ADDRESSING BASIS RISK
    • WHY CONDITIONS ARE RIGHT FOR INDEX-BASED DEALS
    • THE OUTLOOK FOR LONGEVITY RISK TRANSFER
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More in this TOC Section

  • Strengthening Retirement Outcomes for DB Plan Participants
  • Editor’s Letter
  • The Case for U.S. Plan-Specific Mortality Studies
Show more Article
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