TY - JOUR T1 - Risk-Return Appraisal of Longevity Swaps JF - Special Issues SP - 99 LP - 108 VL - 2014 IS - 1 AU - Elisa Luciano AU - Luca Regis Y1 - 2014/09/21 UR - https://pm-research.com/content/2014/1/99.abstract N2 - 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. ER -