Living with Mortality : Longevity Bonds and Other Mortality-linked Securities

@inproceedings{Blake2006LivingWM,
  title={Living with Mortality : Longevity Bonds and Other Mortality-linked Securities},
  author={By D. Blake and Andrew J. G. Cairns and Kevin Dowd},
  year={2006}
}
This paper addresses the problem of longevity risk ö the risk of uncertain aggregate mortality ö and discusses the ways in which life assurers, annuity providers and pension plans can manage their exposure to this risk. In particular, it focuses on how they can use mortalitylinked securities and over-the-counter contracts ö some existing and others still hypothetical ö to manage their longevity risk exposures. It provides a detailed analysis of two such securities ö the Swiss Re mortality bond… CONTINUE READING
Highly Cited
This paper has 60 citations. REVIEW CITATIONS
45 Citations
29 References
Similar Papers

Citations

Publications citing this paper.

60 Citations

0510'06'09'12'15'18
Citations per Year
Semantic Scholar estimates that this publication has 60 citations based on the available data.

See our FAQ for additional information.

References

Publications referenced by this paper.
Showing 1-10 of 29 references

CPI futures at CME

  • S. Srinivasan
  • Chicago: Chicago Mercantile Exchange.
  • 2004
Highly Influential
6 Excerpts

Longevity bond to be issued by the EIB

  • Barnett-Waddingham
  • http://www.barnettwaddingham.co.uk/cms/services…
  • 2004
Highly Influential
1 Excerpt

Reinventing annuities. Paper presented to the Staple Inn Actuarial Society

  • M. Wadsworth, A. Findlater, T. Boardman
  • 2001
Highly Influential
2 Excerpts

Success and failure of futures contracts: theory and empirical evidence

  • D. G. Black
  • Monograph No. 1986-1, Monograph Series in Finance…
  • 1986
Highly Influential
3 Excerpts

Similar Papers

Loading similar papers…