Longevity Bonds: Financial Engineering, Valuation, and Hedging
David Blake (),
Kevin Dowd and
Journal of Risk & Insurance, 2006, vol. 73, issue 4, 647-672
This article examines the main characteristics of longevity bonds (LBs) and shows that they can take a large variety of forms which can vary enormously in their sensitivities to longevity shocks. We examine different ways of financially engineering LBs and consider problems arising from the dearth of ultra‐long government bonds and the choice of the reference population index. The article also looks at valuation issues in an incomplete markets context and finishes with an examination of how LBs can be used as a risk management tool for hedging longevity risks.
References: View complete reference list from CitEc
Citations: View citations in EconPapers (53) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:jrinsu:v:73:y:2006:i:4:p:647-672
Ordering information: This journal article can be ordered from
Access Statistics for this article
Journal of Risk & Insurance is currently edited by Keith Crocker
More articles in Journal of Risk & Insurance from The American Risk and Insurance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().