%O Special issue
%I Institutional Investor Journals
%P 99-108
%T Risk-return appraisal of longevity swaps
%B Pension and Longevity Risk Transfer for Institutional Investors
%A Luca Regis
%A Elisa Luciano
%X 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.
%D 2014
%L eprints2372