Modelling longevity bonds: Analysing the Swiss Re Kortis bond

Andrew Hunt and David Blake

Insurance: Mathematics and Economics, 2015, vol. 63, issue C, 12-29

Abstract: A key contribution to the development of the traded market for longevity risk was the issuance of the Kortis bond, the world’s first longevity trend bond, by Swiss Re in 2010. We analyse the design of the Kortis bond, develop suitable mortality models to analyse its payoff and discuss the key risk factors for the bond. We also investigate how the design of the Kortis bond can be adapted and extended to further develop the market for longevity risk.

Keywords: Mortality modelling; Age/period/cohort models; General procedure; Cointegration; Cohort effects; Kortis bond (search for similar items in EconPapers)
JEL-codes: C15 C32 G13 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:63:y:2015:i:c:p:12-29

DOI: 10.1016/j.insmatheco.2015.03.017

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