%0 Journal Article %A Elisa Luciano %A Luca Regis %T Risk-Return Appraisal of Longevity Swaps %D 2014 %J Special Issues %P 99-108 %V 2014 %N 1 %X The authors show that the transfer of longevity risk through derivatives, such as longevity swaps, usually decreases the overall risk of a pension fund, while also decreasing expected returns, thus resulting in efficient outcomes. In some cases, however, this may increase the overall risk. Risk is measured by Value-at-Risk (VaR), taking into account the impact of both longevity and interest-rate shocks on assets and liabilities. After calibrating a hypothetical fund to the U.K. longevity and bond market, the authors show that when inefficiencies arise, they may be avoided with a partial transfer of longevity risk. %U https://guides.pm-research.com/content/iijspecial/2014/1/99.full.pdf