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Longevity Risk And Capital Markets
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Book Synopsis Special Issue: Longevity Nine - the Ninth International Longevity Risk and Capital Markets Solutions Conference by :
Download or read book Special Issue: Longevity Nine - the Ninth International Longevity Risk and Capital Markets Solutions Conference written by and published by . This book was released on 2015 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Longevity Risk and Capital Markets by : Ken Seng Tan
Download or read book Longevity Risk and Capital Markets written by Ken Seng Tan and published by . This book was released on 2015 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Life Settlements and Longevity Structures by : Geoff Chaplin
Download or read book Life Settlements and Longevity Structures written by Geoff Chaplin and published by John Wiley & Sons. This book was released on 2009-08-06 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent turbulence in the financial markets has highlighted the need for diversified portfolios with lower correlations between the different investments. Life settlements meet this need, offering investors the prospect of high, stable returns, uncorrelated with the broader financial markets. This book provides readers of all levels of experience with essential information on the process surrounding the acquisition and management of a portfolio of life settlements; the assessment, modelling and mitigation of the associated longevity, interest rate and credit risks; and practical approaches to financing and risk management structures. It begins with the history of life insurance and looks at how the need for new financing sources has led to the growth of the life settlements market in the United States. The authors provide a detailed exploration of the mathematical formulae surrounding the generation of mortality curves, drawing a parallel between the tools deployed in the credit derivatives market and those available to model longevity risk. Structured products and securitisation techniques are introduced and explained, starting with simple vanilla products and models before illustrating some of the investment structures associated with life settlements. Capital market mechanisms available to assist the investor in limiting the risks associated with life settlement portfolios are outlined, as are opportunities to use life settlement portfolios to mitigate the risks of traditional capital markets. The last section of the book covers derivative products, either available now or under consideration, that will reduce or potentially eliminate longevity risks within life settlement portfolios. It then reviews hedging and risk management strategies and considers how to measure the effectiveness of risk mitigation.
Book Synopsis International Longevity Risk and Capital Markets Solutions by :
Download or read book International Longevity Risk and Capital Markets Solutions written by and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Longevity Risk and Capital Markets by : David P. Blake
Download or read book Longevity Risk and Capital Markets written by David P. Blake and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Longevity Four: The Fourth International Longevity Risk and Capital Markets Solutions Conference was held in Amsterdam on 25-26 September 2008. It was hosted by Netspar and the Pensions Institute (at Cass Business School), organised by PensionSummit and sponsored by Cardano, EIM, Nationale Nederlanden, and Robeco; IPE and Pensions & Investments were media partners. Mortality improvements around the world are putting more pressure on governments, pension funds, life insurance companies as well as individuals to deal with the longevity risk they face. At the same time, capital markets can, in principle, provide vehicles to hedge longevity risk effectively. Many new investment products have been created both by the insurance/reinsurance industry and by the capital markets. Mortality catastrophe bonds are an example of a successful insurance-linked security. Some new innovative capital market solutions for transferring longevity risk include survivor bonds, reverse mortgages, longevity-linked swaps and mortality (or q-) forward contracts. The aim of the International Longevity Risk and Capital Markets Solutions Conferences is to bring together academics and practitioners from all over the world to discuss and analyze these exciting new developments.
Book Synopsis Special Issue: Longevity Risk and Capital Markets by :
Download or read book Special Issue: Longevity Risk and Capital Markets written by and published by . This book was released on 2013 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Longevity Risk and Capital Markets by : Richard D. MacMinn
Download or read book Longevity Risk and Capital Markets written by Richard D. MacMinn and published by . This book was released on 2009 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt: Longevity Three: The Third International Longevity Risk and Capital Markets Solutions Conference was held in Taipei, Taiwan on 20-21 July 2007. It was hosted by National Chengchi University. Mortality improvements around the world are putting more pressure on governments, pension funds, life insurance companies as well as individuals to deal with the increasing longevity risk they face. Financial markets, on the other hand, can in principle provide vehicles to hedge longevity risk effectively. Many new investment products have been created both by the insurance/reinsurance industry and by the capital markets. Mortality catastrophe bonds are an example of a successful insurance-linked security. Some new innovative capital market solutions for transferring longevity risk include survivor bonds, reverse mortgages, longevity-linked swaps and forward contracts. The aim of the International Longevity Risk and Capital Markets Solutions Conferences is to bring together academics and practitioners from all over the world to discuss and analyze these exciting new developments.The first conference was held at Cass Business School in London in February 2005. This conference was prompted by the announcement of the Swiss Re mortality catastrophe bond in December 2003 and the EIB/BNP/PartnerRe longevity bond in November 2004. The second conference was held in April 2006 in Chicago and hosted by the Katie School at Illinois State University. In the intervening period, there were further issues of mortality catastrophe bonds, as well as the release of the Credit Suisse Longevity Index. Life settlement securitizations were also beginning to take place in the US. In the UK, new life companies backed by global investment banks and private equity firms were setting up for the express purpose of buying out the defined benefit pension liabilities of UK corporations. Goldman Sachs announced it was setting up such a buy-out company itself because the issue of pension liabilities was beginning to impede its mergers and acquisitions activities. So there was now clear evidence that a new global capital market in longevity risk transference was beginning to emerge. However, as with many other economic activities, not all progress follows a smooth path. The EIB/BNP/PartnerRe longevity bond did not attract sufficient investor interest and was withdrawn in late 2005. But a great deal was learned from this about the conditions and requirements needed to launch a successful capital market.
Book Synopsis Longevity Risk and Capital Markets by : David Blake
Download or read book Longevity Risk and Capital Markets written by David Blake and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Longevity Risk and Capital Markets by : David P. Blake
Download or read book Longevity Risk and Capital Markets written by David P. Blake and published by . This book was released on 2017 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Special Issue of Insurance: Mathematics and Economics contains 16 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity 11: The Eleventh International Longevity Risk and Capital Markets Solutions Conference that was held in Lyon, France on 8-9 September 2015. It was hosted by Institut de Science Financière et d'Assurance (ISFA), Université Lyon 1, Lyon, and co-hosted by Laboratoire de Science Financière et d'Assurances, Lyon; Laboratoire de Probabilités et Modéles Aléatoires, Université Pierre et Marie Curie, Paris; Pensions Institute, Cass Business School, City University of London, UK; and the LoLitA (Longevity with Lifestyle Adjustments) ANR research project team. It was sponsored by Prudential Financial, SCOR, Société Générale Corporate and Investment Banking, the Society of Actuaries (SOA), EY, Milliman, Reinsurance Group of America, Aon Benfield, Guy Carpenter, PRIM'ACT, and SINALYS.
Download or read book Longevity Risk written by Emma McWilliam and published by . This book was released on 2011 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents methods to price and measure longevity risk and ways to hedge/de-risk through a range of traditional insurance, reinsurance and innovative capital market solutions.
Download or read book Longevity Risk written by Frederik Weber and published by VVW GmbH. This book was released on 2010 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: Die Dissertation von Dr. Frederik Weber erscheint in englischer Sprache. Der demographische Wandel und die steigende Lebenserwartung haben in jüngster Zeit verstärkte Diskussionen in der Öffentlichkeit angeregt. Zusätzlich sinkende Rentenleistungen erfordern ein effizienteres Management der privaten Altersvorsorge. Gleichzeitig ergibt sich aus dieser Tatsache ein erhöhtes Risiko für Rentenanbieter aus der Unsicherheit über die zukünftige Sterblichkeitsentwicklung. Die vorliegende Arbeit beleuchtet dazu zunächst die zugrundeliegende demographische Entwicklung und unterschiedliche Ausprägungen des Langlebigkeitsrisikos. Mögliche Probleme bei der Versicherbarkeit dieses Risikos bieten Anknüpfungspunkte für die optimierte Gestaltung von Versicherungsverträgen. Neben Kohorteneffekten in der Sterblichkeitsentwicklung, für die geeignete Maßzahlen und Kriterien zur Identifikation sogenannter "Select Cohorts" diskutiert werden, steht eine Abschätzung des potenziellen Ausmaßes des Langlebigkeitsrisikos im Mittelpunkt des ersten Teils. In einer Simulation wird die Wechselbeziehung von Langlebigkeits- und Investmentrisiko in Rentenportfolios erörtert. Sie verdeutlicht die Unterschiede beider Risikoarten, zeigt jedoch für das Langlebigkeitsrisiko feinere Muster, die aufgrund fehlender Kapitalmarktinstrumente nicht vollständig abgesichert werden können. Typische Risikomanagement-Optionen erweisen sich in Bezug auf das Langlebigkeitsrisiko überwiegend als wenig hilfreich oder sinnvoll. Einzig ein verändertes aktuarielles Produktdesign in Form einer mortalitätsindexierten Leibrente (Mortality-Indexed Annuity) verspricht eine signifikante Reduktion des Risikos für Versicherer. Dieser Vorteil bestätigt sich in einer weiteren Simulation auch aus Kundenperspektive, so dass diese Produktidee dazu beitragen könnte, Angebot und Nachfrage in einem unterentwickelten Markt für private Rentenversicherungen zu stärken. The demographic transition and increasing life expectancies have increasingly been discussed also in the general public. As a consequence, reduced social security pensions increasingly challenge individuals’ retirement funding to adequately manage the individual longevity risk. In addition, pension providers face the uncertainty regarding future mortality development. The present work sketches the underlying demographic development and distinguishes different forms of longevity risk. Potential drawbacks with respect to its insurability represent natural starting points for a discussion of adequate insurance contract design. Besides cohort effects in mortality reduction, for which suitable measures and criteria to identify so called "select cohorts" are discussed, an appraisal of the potential financial impact of longevity risk is a key objective here. Further insight into its relationship to and interaction with investment risk in life annuity portfolios are the main objective of a simulation study. Although capital market risks exert a stronger direct influence on an insurer’s technical result, longevity risk turns out to be of a more subtle nature. However, this risk cannot yet be hedged with the existing capital market instruments and thus appears worthwhile to be further analyzed. Typical risk management tools prove to be less apt upon closer inspection. Solely, a modified actuarial product design in the form of a life annuity with mortality-indexed benefits shows promise for reducing insurers’ exposure. The advantageousness of such a product concept can also be confirmed from a policyholder’s perspective by means of a further simulation study so that it might contribute to stimulate supply and demand in the underdeveloped market for life annuities.
Download or read book Life Markets written by Vishaal B. Bhuyan and published by John Wiley & Sons. This book was released on 2009-07-23 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to longevity finance As the Baby Boomer population continues to age and the need for the securitization of life insurance policies increases, more financial institutions are looking towards longevity trading as a solution. Consequently, there is now a need for innovative financial products and strategies that have the ability to hedge longevity exposure for pension funds, reinsurance companies, and governments. These products and strategies are currently being developed with the use of life settlements. Here, author Vishaal Bhuyan provides a complete guide to this burgeoning sector. In Life Markets, Bhuyan and a team of expert contributors from leading firms offer an extensive look at how to trade life settlements. Provides practical guidance to the growing field of longevity finance Outlines the innovative financial products that are populating this field Highlights a safe haven for investors seeking returns in troubled times Covering everything from the history of life settlements to making a transaction-pricing, service providers, exchanges, and more-this book contains extensive coverage of the many issues surrounding longevity finance.
Book Synopsis Longevity Risk Modeling, Securities Pricing and Other Related Issues by : Yinglu Deng
Download or read book Longevity Risk Modeling, Securities Pricing and Other Related Issues written by Yinglu Deng and published by . This book was released on 2011 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the adverse financial implications of "longevity risk" and "mortality risk", which have attracted the growing attention of insurance companies, annuity providers, pension funds, public policy decision-makers, and investment banks. Securitization of longevity/mortality risk provides insurers and pension funds an effective, low-cost approach to transferring the longevity/mortality risk from their balance sheets to capital markets. The modeling and forecasting of the mortality rate is the key point in pricing mortality-linked securities that facilitates the emergence of liquid markets. First, this dissertation introduces the discrete models proposed in previous literature. The models include: the Lee-Carter Model, the Renshaw Haberman Model, The Currie Model, the Cairns-Blake-Dowd (CBD) Model, the Cox-Lin-Wang (CLW) Model and the Chen-Cox Model. The different models have captured different features of the historical mortality time series and each one has their own advantages. Second, this dissertation introduces a stochastic diffusion model with a double exponential jump diffusion (DEJD) process for mortality time-series and is the first to capture both asymmetric jump features and cohort effect as the underlying reasons for the mortality trends. The DEJD model has the advantage of easy calibration and mathematical tractability. The form of the DEJD model is neat, concise and practical. The DEJD model fits the actual data better than previous stochastic models with or without jumps. To apply the model, the implied risk premium is calculated based on the Swiss Re mortality bond price. The DEJD model is the first to provide a closed-form solution to price the q-forward, which is the standard financial derivative product contingent on the LifeMetrics index for hedging longevity or mortality risk. Finally, the DEJD model is applied in modeling and pricing of life settlement products. A life settlement is a financial transaction in which the owner of a life insurance policy sells an unneeded policy to a third party for more than its cash value and less than its face value. The value of the life settlement product is the expected discounted value of the benefit discounted from the time of death. Since the discount function is convex, it follows by Jensen's Inequality that the expected value of the function of the discounted benefit till random time of death is always greater than the benefit discounted by the expected time of death. So, the pricing method based on only the life expectancy has the negative bias for pricing the life settlement products. I apply the DEJD mortality model using the Whole Life Time Distribution Dynamic Pricing (WLTDDP) method. The WLTDDP method generates a complete life table with the whole distribution of life times instead of using only the expected life time (life expectancy). When a life settlement underwriter's gives an expected life time for the insured, information theory can be used to adjust the DEJD mortality table to obtain a distribution that is consistent with the underwriter projected life expectancy that is as close as possible to the DEJD mortality model. The WLTDDP method, incorporating the underwriter information, provides a more accurate projection and evaluation for the life settlement products. Another advantage of WLTDDP is that it incorporates the effect of dynamic longevity risk changes by using an original life table generated from the DEJD mortality model table.
Book Synopsis Still Living With Mortality by : David P. Blake
Download or read book Still Living With Mortality written by David P. Blake and published by . This book was released on 2018 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper updates Living with Mortality published in 2006. It describes how the longevity risk transfer market has developed over the intervening period, and, in particular, how insurance-based solutions - buy-outs, buy-ins and longevity insurance - have triumphed over capital markets solutions that were expected to dominate at the time. Some capital markets solutions - longevity-spread bonds, longevity swaps, q-forwards, and tail-risk protection - have come to market, but the volume of business has been disappointingly low. The reason for this is that when market participants compare the index-based solutions of the capital markets with the customized solutions of insurance companies in terms of basis risk, credit risk, regulatory capital, collateral, and liquidity, the former perform on balance less favourably despite a lower potential cost. We discuss the importance of stochastic mortality models for forecasting future longevity and examine some applications of these models, e.g., determining the longevity risk premium and estimating regulatory capital relief. The longevity risk transfer market is now beginning to recognize that there is insufficient capacity in the insurance and reinsurance industries to deal fully with demand and new solutions for attracting capital markets investors are now being examined - such as longevity-linked securities and reinsurance sidecars.
Book Synopsis Longevity Risk and Capital Markets by :
Download or read book Longevity Risk and Capital Markets written by and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Longevity Risks and Capital Markets by : David P. Blake
Download or read book Longevity Risks and Capital Markets written by David P. Blake and published by . This book was released on 2020 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Special Issue of Geneva Papers on Risk and Insurance - Issues and Practice contains 10 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity Six: The Sixth International Longevity Risk and Capital Markets Solutions Conference that was held in Sydney on 9-10 September 2010. It was hosted by the Australian Institute for Population Ageing Research, the Australian School of Business and the University of New South Wales. It was sponsored by PricewaterhouseCoopers, Australian Prudential Regulation Authority (APRA), Coventry Capital, Swiss Re, and Institute of Actuaries of Australia.
Author :International Longevity Risk and Capital Markets Solutions Conference Publisher : ISBN 13 : Total Pages :270 pages Book Rating :4.:/5 (699 download)
Book Synopsis Gerber-Shiu Functions by : International Longevity Risk and Capital Markets Solutions Conference
Download or read book Gerber-Shiu Functions written by International Longevity Risk and Capital Markets Solutions Conference and published by . This book was released on 2010 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt:
