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Volume 60, Issue 6


Securitization of Longevity and Mortality Risk

Cipra, Tomas

Year: 2010   Volume: 60   Issue: 6   Pages: 545-560

Abstract: This paper deals with Alternative Risk Transfer (ART) through the securitization of longevity and mortality risks in pension plans and commercial life insurance. Various types of such mortality-linked securities are described (e.g., CATM bonds, longevity bonds, mortality forwards and futures, and mortality swaps). Pricing methods and real examples are given. Hypothetical calculations concerning the pricing of potential mortality forwards that correspond to the evolution of longevity in the Czech Republic are presented.

JEL classification: G1, G23, G28, D8, J11, J26, J32, C15, C32, H55

Keywords: ART, life insurance, life market, longevity risk, mortality risk, pension plans, securitization, tontines


RePEc: http://ideas.repec.org/a/fau/fauart/v60y2010i6p545-560.html

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