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Risk-return appraisal of longevity swaps

Regis, Luca and Luciano, Elisa Risk-return appraisal of longevity swaps. In: Pension and Longevity Risk Transfer for Institutional Investors. Institutional Investor Journals, pp. 99-108. (2014)

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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.

Item Type: Book Section
Additional Information: Special issue
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
H Social Sciences > HG Finance
Research Area: Economics and Institutional Change
Depositing User: Users 53 not found.
Date Deposited: 18 Nov 2014 08:34
Last Modified: 18 Nov 2014 08:34
URI: http://eprints.imtlucca.it/id/eprint/2372

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