Economics at your fingertips  


Rúben Pereira Carlos () and Onofre Simões
Additional contact information
Rúben Pereira Carlos: Mercer Portugal
Onofre Simões: ISEG - Instituto Superior de Economia e Gestão

Portuguese Journal of Management Studies, 2012, vol. XVII, issue 1, 63-82

Abstract: Increases in life expectancy have been noticeable in recent decades and this is one of the key issues to the annuities industry and to the public pensions system. To address the problem of hedging the longevity risk, several instruments have been discussed within the financial markets in order to find a solution. Many stochastic models have been suggested to fit the evolution of the mortality curve as close as possible, so that these financial instruments can be issued on a solid basis. In this paper, we discuss and simulate the issue of two longevity bonds with cash flows linked to the evolution of a survival index, built on the Portuguese mortality data. The forecast of mortality rates is per-formed using a two-factor stochastic model, the Cairns-Blake-Dowd (CBD) model. The main objective is to develop a hedging solution to the increases in human longevity in Portugal. Classification- JEL:

Keywords: Longevity; Survivor bonds; Stochastic mortality models (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link) ... _the_bond_market.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Portuguese Journal of Management Studies is currently edited by Luís Mota de Castro, Tiago Cardão-Pito, Mark Crathorne

More articles in Portuguese Journal of Management Studies from ISEG, Universidade de Lisboa Contact information at EDIRC.
Bibliographic data for series maintained by Luís Mota de Castro, Tiago Cardão-Pito, Mark Crathorne ().

Page updated 2019-01-18
Handle: RePEc:pjm:journl:v:xvii:y:2012:i:1:p:63-82