Securitization of Longevity and Mortality Risk

Tomas Cipra ()
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Tomas Cipra: Faculty of Mathematics and Physics, Charles University in Prague, http://www.mff.cuni.cz/

Czech Journal of Economics and Finance (Finance a uver), 2010, vol. 60, issue 6, 545-560

Abstract: This paper deals with Alternative Risk Transfer (ART) through the securitization of longevity and mortality risks in pension plans and commercial life insurance. Various types of such mortality-linked securities are described (e.g., CATM bonds, longevity bonds, mortality forwards and futures, and mortality swaps). Pricing methods and real examples are given. Hypothetical calculations concerning the pricing of potential mortality forwards that correspond to the evolution of longevity in the Czech Republic are presented.

Keywords: ART; life insurance; life market; longevity risk; mortality risk; pension plans; securitization; tontines (search for similar items in EconPapers)
JEL-codes: C15 C32 D8 G1 G23 G28 H55 J11 J26 J32 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:60:y:2010:i:6:p:545-560

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