Longevity risk transfer

• NN Group taps Prudential & Swiss Re for €13bn longevity risk transfer
• MMC UK pension gets £2bn longevity swap backed by Munich Re
• BT Pension gets £5bn longevity swap from RGA Re via captive
• Zurich & Prudential Financial in £1.7bn UK pension longevity swap & reinsurance
• Zurich and Pacific Life Re deliver £1.6bn bank pension longevity swap

To read more visit the Artemis Blog.

Research & reports on longevity risk transfer

Understanding, modelling and managing longevity risk: Key issues and main challenges
Statistics Department – London School of Economics

Alternative Risk Transfer for Longevity and Mortality
Tomas Cipra, Charles University of Prague

What should a reinsurer charge for longevity risk?
Longevitas

Financial aspects of longevity risk
The Staple Inn Actuarial Society Oct 2004

How to use longevity indices to transfer longevity risk
The Actuary Feb 2012

Longevity risk transfer markets: market structure, growth drivers and impediments, and potential risks
Basel Committee on Banking Supervision Aug 2013

Keeping some skin the game: How to start a capital market in longevity risk transfers
Pensions Institute Dec 2013

Why transferring longevity risk is your best your best route
Club vita, incisive guides

Longevity risk transfer markets: market structure, growth drivers and impediments, and potential risk
Basel Committee on Banking Supervision Aug 2013

Reinsuring longevity risk
Sidley Austin LLP Aug 2013

Reinsurance of Longevity: risk transfer and capital management solutions
Scor, Global Life Sep 2006

Longevity risk sector picks up momentum
Barlow Lyde & Gilbert LLP Jun 2010

Development in the insurance-linked securities (ILS) life market, post financial crisis
Mathieu Boucher Jun 2009

Joint modelling of portfolio experienced and national mortality: A co-integration based approach
Yahia Salhi & Stephane Loisel

Development in the insurance-linked securities (ILS) life market
Munich Re 2009

Hedging Survivor Bonds with Mortality-linked Securities 
London School of Economics May 2009

Longevity Risk and Retirement Savings
Joao Cocco & Francisco Gomes Jan 2008

RMS Performs Analysis for Catastrophe Bond Covering H1N1 Flu Pandemic
Continuity Central Nov 2009

The H1N1 Influenza Pandemic: Implications for Catastrophe Modelling 
Air Worldwide Jun 2010

Protecting your pensions – why longevity swaps should also be viewed as an investment
AEGON Mar 2010

Longevity: The New Risk Frontier
Singapore Management University Nov 2009

Static Hedging Effectiveness for Longevity Risk with Longevity Bonds and Derivatives
Andrew Ngai Jan 2010

Managing longevity risk
Bridges Jan 2014

The case for longevity bonds 
Centre for Retirement Research at Boston College Jun 2010

The case for longevity bonds 
Paper from the Center for Retirement Research at Boston College

Managing longevity risk 
Article from Bridges

Static Hedging Effectiveness for Longevity Risk with Longevity Bonds and Derivatives 
From the Australian Prudential Regulation Authority

Longevity: The New Risk Frontier 
Paper from Singapore Management University

Protecting your pensions – why longevity swaps should also be viewed as an investment 
Article from Aegon

The H1N1 Influenza Pandemic: Implications for Catastrophe Modeling  
From AIR Worldwide

RMS Performs Analysis for Catastrophe Bond Covering H1N1 Flu Pandemic 
From RMS

Longevity Risk and Retirement Savings 
Paper by João F. Cocco and Francisco J. Gomes

Hedging Survivor Bonds with Mortality-linked Securities 
Paper by Francesca Biagini, Young Lee and Thorsten Rheinlander

Development in the insurance-linked securities (ILS) life market 
Presentation from Munich Re

Joint modeling of portfolio experienced and national mortality: A co-integration based approach 
Paper by Yahia Salhia and Stephane Loisel

Development in the insurance-linked securities (ILS) life market, post financial crisis 
Paper by Mathieu Boucher, ASA, PRM presented to the 2009 East Asian Actuarial Conference

Longevity risk sector picks upmomentum 
From Barlow, Lyde & Gilbert