?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F1804%2F&rft.title=Demographic+risk+transfer%3A+is+it+worth+for+annuity+providers%3F++ICER+Working+Paper&rft.creator=Luciano%2C+Elisa&rft.creator=Regis%2C+Luca&rft.subject=HB+Economic+Theory&rft.description=Longevity+risk+transfer+is+a+popular+choice+for+annuity+providers+such+as+pension+funds.+This+paper+formalizes+the+trade-off+between+the+cost+and+the+risk+relief+of+such+choice%2C+when+the+annuity+provider+uses+value-at-risk+to+assess+risk.+Using+first-order+approximations+we+show+that%2C+if+the+transfer+is+fairly+priced+and+the+aim+of+the+fund+is+to+maximize+returns%2C+the+funds'+alternatives+can+be+represented+in+the+plane+expected+return-VaR.+We+build+a+risk-return+frontier%2C+along+which+the+optimal+transfer+choices+of+the+fund+are+located+and+calibrated+it+to+the+2010+UK+annuity+and+bond+market.&rft.date=2012&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=http%3A%2F%2Feprints.imtlucca.it%2F1804%2F1%2FICER%2520WP_%25202012_Regis.pdf&rft.identifier=++Luciano%2C+Elisa+and+Regis%2C+Luca++Demographic+risk+transfer%3A+is+it+worth+for+annuity+providers%3F+ICER+Working+Paper.++Working+Paper++%2324%2F2012++++++++++&rft.relation=http%3A%2F%2Fwww.icer.it%2Fdocs%2Fwp2012%2FICERwp11-12.pdf