RT Journal Article
SR Electronic
T1 Risk-Return Appraisal of Longevity Swaps
JF Special Issues
FD Institutional Investor Journals
SP 99
OP 108
VO 2014
IS 1
A1 Elisa Luciano
A1 Luca Regis
YR 2014
UL https://pm-research.com/content/2014/1/99.abstract
AB 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.