Modelling longevity bonds: Analysing the Swiss Re Kortis bond

Hunt, A. & Blake, D. (2015). Modelling longevity bonds: Analysing the Swiss Re Kortis bond. Insurance: Mathematics and Economics, 63, pp. 12-29. doi: 10.1016/j.insmatheco.2015.03.017

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Abstract

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 risk factors for the bond. We also investigate how the design of the Kortis bond can be adapted and extended to further develop the market for longevity risk.

Item Type:	Article
Additional Information:	© 2015, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords:	Mortality modelling, age/period/cohort models, general procedure, cointegration, cohort effects, Kortis bond
Subjects:	H Social Sciences > HG Finance
Divisions:	Cass Business School > Faculty of Finance
URI:	http://openaccess.city.ac.uk/id/eprint/11958

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