@incollection{eprints2372,
            note = {Special issue},
       publisher = {Institutional Investor Journals},
          author = {Luca Regis and Elisa Luciano},
           pages = {99--108},
       booktitle = {Pension and Longevity Risk Transfer for Institutional Investors},
           title = {Risk-return appraisal of longevity swaps},
            year = {2014},
             url = {http://eprints.imtlucca.it/2372/},
        abstract = {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.}
}