Work

Longevity Bonds: Financial Engineering, Valuation, and Hedging

Year: 2006

Type: article

Abstract: This article examines the main characteristics of longevity bonds (LBs) and shows that they can take a large variety of forms which can vary enormously in their sensitivities to longevity shocks. We examine different ways of financially engineering LBs and consider problems arising from the dearth of ultra‐long government bonds and the choice of the reference population index. The article also looks at valuation issues in an incomplete markets context and finishes with an examination of how LBs can be used as a risk management tool for hedging longevity risks.

Source: Journal of Risk & Insurance

DOI: 10.1111/j.1539-6975.2006.00193.x

Authors: David Blake, Andrew Cairns, Kevin Dowd, Richard MacMinn

Institutions: University of Nottingham, City, University of London, Heriot-Watt University, Maxwell Institute for Mathematical Sciences, Illinois State University

Language: English

Topic: Insurance, Mortality, Demography, Risk Management

Subfield: Demography

Field: Social Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2012894282

FWCI: 35.95

Cites: 31

Cited by: 179

Related to: 10