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Longevity: A New Asset Class

Blake, D. ORCID: 0000-0002-2453-2090 (2018). Longevity: A New Asset Class (PI-1805). London, UK: Pensions Institute.


A little over a decade ago, a new asset class emerged, one linked to longevity risk, i.e., unanticipated changes in life expectancy. The Life Market has two segments: a macro segment with assets linked to groups of lives, such as members of a pension plan or a book of annuitants; and a micro segment with assets linked to individual lives, such as life settlements. For the market to become global certain market requirements need to be satisfied, such as understanding the causal factors underlying longevity and the development of market indices and mortality forecasting models. The government has a role in contributing to the development of the market, as do pricing models. By addressing these issues, as well as understanding the needs of investors better, the asset class can become global, by attracting new groups of investors seeking returns that are uncorrelated with existing financial instruments.

Publication Type: Monograph (Discussion Paper)
Additional Information: This is a pre-print of an article published in Journal of Asset Management. The final authenticated version is available online at:
Publisher Keywords: longevity risk, longevity-linked assets, uncorrelated returns
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
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