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Governments and the Market for Longevity-Indexed Bonds

Author

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  • Pablo Antolín
  • Hans J. Blommestein

Abstract

Uncertainty about length of life, longevity risk, is a growing financial problem for pension funds and annuity providers. They would like to transfer longevity risk away to institutions better placed to deal with it. Unfortunately, there is a lack of financial instruments to hedge against this longevity risk, thereby complicating risk management by pension funds and hindering the expansion of the annuity market. Consequently, this paper examines the role of government in... Le gouvernement et le marché pour les titres indexés sur la longévité L'incertitude sur la durée de vie, le risque de longévité, est un problème financier croissant pour les fonds de pension et les fournisseurs de rentes viagères. Ils préfèrent transférer ce risque aux institutions les plus préparées pour les absorber. Malheureusement, il y a un manque d'instruments financiers afin d'avoir une couverture contre le risque de longévité. Cette situation complique le management du risque et empêche l’expansion du marché de la rente viagère. Par conséquent, ce document étudie le rôle...

Suggested Citation

  • Pablo Antolín & Hans J. Blommestein, 2007. "Governments and the Market for Longevity-Indexed Bonds," OECD Working Papers on Insurance and Private Pensions 4, OECD Publishing.
    • Handle: RePEc:oec:dafaab:4-en
    DOI: 10.1787/260561411283
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    Cited by:

    1. Roy, Amlan, 2012. "Innovative Approaches to Managing Longevity Risk in Asia: Lessons from the West," ADBI Working Papers 353, Asian Development Bank Institute.
    2. Debonneuil, Edouard & Loisel, Stéphane & Planchet, Frédéric, 2018. "Do actuaries believe in longevity deceleration?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 325-338.
    3. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    4. Bohm, Thomas & Waldvogel, Felix, 2012. "Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking.
    5. David Blake & Christophe Courbage & Richard MacMinn & Michael Sherris, 2011. "Longevity Risk and Capital Markets: The 2010–2011 Update," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(4), pages 489-500, October.
    6. Stéphane Loisel, 2010. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00517902, HAL.
    7. Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
    8. David Blake & Tom Boardman & Andrew Cairns, 2014. "Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 258-277.
    9. Tomas Cipra, 2010. "Securitization of Longevity and Mortality Risk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 545-560, December.
    10. Benoît Coeuré, 2007. "Normes comptables et gestion de la dette publique," Revue d'Économie Financière, Programme National Persée, vol. 89(3), pages 101-110.

    More about this item

    Keywords

    annuities; DB and DC plans; financial instruments; fonds de pension; hedging; incertitude; index; index de longévité; indices; instruments financiers; longevity index; longevity risk; longevity-indexed bonds; pension fund; plans de pension de prestation définie et contributive; rente; risque de longévité; titres indexés à la longévité; Uncertainty; viager;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends, Macroeconomic Effects, and Forecasts
    • J26 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Retirement; Retirement Policies

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