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Informed intermediation of longevity exposures

Biffis, E. and Blake, D. (2013). Informed intermediation of longevity exposures. Journal of Risk and Insurance, 80(3), pp. 559-584. doi: 10.1111/j.1539-6975.2013.01524.x

Abstract

We examine pension buyout transactions and longevity risk securitization in a common framework, emphasizing the role played by asymmetries in capital requirements and mortality forecasting technology. The results are used to develop a coherent model of intermediation of longevity exposures, between defined benefit pension plans and capital market investors, through insurers operating in the pension buyout market. We derive several predictions consistent with the recent empirical evidence on pension buyouts and offer insights on the role of buyout firms and regulation in the emerging market for longevity-linked securities. A multiperiod version of the model is used to explore the effects of longevity risk securitization on the capacity of the pension buyout market. © The Journal of Risk and Insurance, 2013.

Publication Type: Article
Additional Information: This is the peer reviewed version of the following article: Biffis, E. & Blake, D. (2013). Informed intermediation of longevity exposures. Journal of Risk and Insurance, 80(3), pp. 559-584, which has been published in final form at https://dx.doi.org/10.1111/j.1539-6975.2013.01524.x. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Finance
URI: http://openaccess.city.ac.uk/id/eprint/17151
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