This paper updates Living with Mortality published in 2006. It describes how the longevity risk transfer market has developed over the intervening period, and, in particular, how insurance-based solutions – buy-outs, buy-ins and longevity insurance – have triumphed over capital markets...

A particularly important issue in retirement income provision is longevity risk. There are two components to longevity risk. The first is the uncertainty over how long any particular pension scheme member is going to live after retirement. This is known as idiosyncratic longevity risk. Both...

This Special Issue of the Annals of Actuarial Science contains 12 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity 14: The Fourteenth International Longevity Risk and Capital Markets Solutions...

A key contribution to the development of the traded market for longevity risk was the issuance of the Kortis bond, the world's first longevity trend bond, by Swiss Re in 2010. We analyse the design of the Kortis bond, develop suitable mortality models to analyse its payoff and discuss the key...

Government-issued longevity bonds would allow longevity risk to be shared efficiently and fairly between generations. In exchange for paying a longevity risk premium, the current generation of retirees can look to future generations to hedge their systematic longevity risk. Longevity bonds will...

We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customised hedge or an index hedge, with the degree of hedge effectiveness being closely related to the correlation between the value...

Life expectancy differs from person to person, population to population and pension scheme to pension scheme. So, your scheme members' mortality experience will be unique. Age is its dominant determinant, but life expectancy is influenced by other factors including gender, geographical location,...

This paper seeks to assess the potential longer-term impact of the COVID-19 pandemic on those who survive. We propose a simple model for accelerated deaths that draws on the observation that many of those who die from COVID-19 are often, but not always, much less healthy than the average for...

This paper updates Living with Mortality published in 2006. It describes how the longevity risk transfer market has developed over the intervening period, and, in particular, how insurance-based solutions – buy-outs, buy-ins and longevity insurance – have triumphed over capital markets...

This Special Issue of Insurance: Mathematics and Economics contains 16 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity 11: The Eleventh International Longevity Risk and Capital Markets...