eprintid: 2372
rev_number: 11
eprint_status: archive
userid: 53
dir: disk0/00/00/23/72
datestamp: 2014-11-18 08:34:05
lastmod: 2014-11-18 08:34:05
status_changed: 2014-11-18 08:34:05
type: book_section
metadata_visibility: show
creators_name: Regis, Luca
creators_name: Luciano, Elisa
creators_id: luca.regis@imtlucca.it
creators_id: 
title: Risk-return appraisal of longevity swaps
ispublished: pub
subjects: HD61
subjects: HG
divisions: EIC
full_text_status: none
note: Special issue
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.
date: 2014
publisher: Institutional Investor Journals
pagerange: 99-108
refereed: TRUE
book_title: Pension and Longevity Risk Transfer for Institutional Investors
official_url: http://www.iijournals.com/doi/abs/10.3905/sp.2014.2014.1.099
citation:   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)