RT Journal Article
SR Electronic
T1 The Fundamentals of Longevity Risk
JF Special Issues
FD Institutional Investor Journals
SP 54
OP 77
VO 2015
IS 1
A1 Peter. Nakada
A1 Chris. Breaux
A1 Mehrdad. Honarkhah
A1 Chris. Hornsby
A1 Dean. Tolla
A1 Rebecca. Vessenes
YR 2015
UL https://pm-research.com/content/2015/1/54.abstract
AB The authors’ firm, Risk Management Solutions (RMS), has had a front-row seat in the development of catastrophe-linked securities from an esoteric, fringe asset class to a mainstream, zero-beta, alternative fixed-income asset class. Investors new to catastrophe-linked securities looked to gain enough comfort to take on catastrophe risk. The questions these investors asked followed a similar pattern: What does the historical record tell me? How can I account for future risks that are not in the historical record? How does the risk relate to my intuition around “real world” developments? Am I on the wrong side of an information asymmetry? This article aims to shed light on these questions for investors new to the asset class. In addition, the article discusses a particular approach to understanding longevity risk using the RMS LifeRisks model.