relation: http://eprints.imtlucca.it/2372/
title: Risk-return appraisal of longevity swaps
creator: Regis, Luca
creator: Luciano, Elisa
subject: HD61 Risk Management
subject: HG Finance
description: 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.
publisher: Institutional Investor Journals
date: 2014
type: Book Section
type: PeerReviewed
identifier:   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)  
relation: http://www.iijournals.com/doi/abs/10.3905/sp.2014.2014.1.099