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Article

Risk-Return Appraisal of Longevity Swaps

Elisa Luciano and Luca Regis
Special Issues Fall 2014, 2014 (1) 99-108
Elisa Luciano
is a full professor at the University of Torino and a fellow at the Collegio Carlo Alberto in Torino and NETSPAR in The Netherlands. elisa.luciano@unito.it
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Luca Regis
is an assistant professor at the IMT Institute for Advanced Studies, Lucca, in the AXES Research Unit in Lucca, Italy. luca.regis@imtlucca.it
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Abstract

The authors show that the transfer of longevity risk through derivatives, such as longevity swaps, usually decreases the overall risk of a pension fund, while also decreasing expected returns, thus resulting in efficient outcomes. In some cases, however, this may increase the overall risk. Risk is measured by Value-at-Risk (VaR), taking into account the impact of both longevity and interest-rate shocks on assets and liabilities. After calibrating a hypothetical fund to the U.K. longevity and bond market, the authors show that when inefficiencies arise, they may be avoided with a partial transfer of longevity risk.

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Special Issues: 2014 (1)
Special Issues
Vol. 2014, Issue 1
Fall 2014
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Risk-Return Appraisal of Longevity Swaps
Elisa Luciano, Luca Regis
Special Issues Sep 2014, 2014 (1) 99-108;

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Risk-Return Appraisal of Longevity Swaps
Elisa Luciano, Luca Regis
Special Issues Sep 2014, 2014 (1) 99-108;
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  • Article
    • Abstract
    • LONGEVITY RISK AND ITS TRANSFER
    • A SIMPLE MODEL TO EVALUATE LONGEVITY RISK TRANSFER EFFICIENCY
    • EFFICIENCIES AND INEFFICIENCIES IN PRACTICE
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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