Blake, David; Cairns, Andrew; Dowd, Kevin; MacMinn, … - 2006
DISCUSSION PAPER PI-0617
Longevity Bonds: Financial Engineering,
Valuation and Hedging
David Blake, Andrew J … Journal of Risk and Insurance, 2006, Vol. 73, No. 4, 647-672
LONGEVITY BONDS:FINANCIAL ENGINEERING,
VALUATION, AND HEDGING … hedging longevity risks.
INTRODUCTION
One of the largest sources of risk faced by life companies and pension funds is …