Longevity risk and capital markets: The 2019-20 update

D Blake, AJG Cairns - Insurance: Mathematics and Economics, 2021 - Elsevier
Abstract This Special Issue of Insurance: Mathematics and Economics contains 16
contributions to the academic literature all dealing with longevity risk and capital markets …

Still living with mortality: The longevity risk transfer market after one decade

D Blake, AJG Cairns, K Dowd, AR Kessler - British Actuarial Journal, 2019 - cambridge.org
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 …

Longevity risk and capital markets: the 2021–22 update

D Blake, AJG Cairns, M Kallestrup-Lamb… - Journal of …, 2023 - cambridge.org
This special issue of the Journal of Demographic Economics contains 10 contributions to the
academic literature all dealing with longevity risk and capital markets. Draft versions of the …

[HTML][HTML] Pension de-risking choice and firm risk: Traditional versus innovative strategies

Z Li, A Kara - International Review of Financial Analysis, 2022 - Elsevier
We examine the determinants of firms defined-benefit pension plan de-risking strategy
choices and their impact on firm risk. We compile a hand-collected dataset for FTSE 350 …

Longevity risk and capital markets: The 2013-14 update

KS Tan, DP Blake, RD MacMinn - 2015 - papers.ssrn.com
Longevity risk and related capital market solutions have grown increasingly important in
recent years, both in academic research and in the markets we refer to as the new Life …

Longevity risk and capital markets: The 2015-16 update

DP Blake, N El Karoui, RD MacMinn, S Loisel - 2017 - papers.ssrn.com
Abstract This Special Issue of Insurance: Mathematics and Economics contains 16
contributions to the academic literature all dealing with longevity risk and capital markets …

Longevity risk and capital markets: the 2018–19 update

D Blake, AJG Cairns - Annals of Actuarial Science, 2020 - cambridge.org
Longevity risk and related capital market solutions have grown increasingly important in
recent years, both in academic research and in the markets we refer to as the Life Market …

On the failure (success) of the markets for longevity risk transfer

R MacMinn, P Brockett - Journal of Risk and Insurance, 2017 - Wiley Online Library
Longevity risk is the chance that people will live longer than expected. That potential
increase in life expectancy exposes insurers and pension funds to the risk of not having …

Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds

T Lin, CCL Tsai, HW Cheng - North American Actuarial Journal, 2023 - Taylor & Francis
In this article, we propose to attach a mortality index to a conventional bond, called a survival–
mortality (SM) bond. Its cash flow pattern is like a conventional bond but it can be separated …

Natural hedges with immunization strategies of mortality and interest rates

T Lin, CC Tsai - ASTIN Bulletin: The Journal of the IAA, 2020 - cambridge.org
In this paper, we first derive closed-form formulas for mortality-interest durations and
convexities of the prices of life insurance and annuity products with respect to an …