TY  - CHAP
N2  - 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.
SP  - 99
A1  - Regis, Luca
A1  - Luciano, Elisa
PB  - Institutional Investor Journals
UR  - http://www.iijournals.com/doi/abs/10.3905/sp.2014.2014.1.099
TI  - Risk-return appraisal of longevity swaps
AV  - none
Y1  - 2014///
EP  - 108
T2  - Pension and Longevity Risk Transfer for Institutional Investors
N1  - Special issue
ID  - eprints2372
ER  -