We examine pension buyout transactions and longevity risk securitization in a common framework, emphasizing the role played by asymmetries in capital requirements and mortality forecasting technology. The results are used to develop a coherent model of intermediation of... View more
Biffis, E. and D. Blake (2010a). Securitizing and tranching longevity exposures. Insurance: Mathematics and Economics, vol. 46:186-197.
Biffis, E. and D. Blake (2010b). Mortality-linked securities and derivatives. In M. Bertocchi, S. Schwartz and W. Ziemba (eds.), Optimizing the Aging, Retirement and Pensions Dilemma. John Wiley & sons.
Biffis, E., D. Blake, L. Pitotti and A. Sun (2012). The cost of counterparty risk and collateralization in longevity swaps. Tech. rep., available at SSRN: http://ssrn.com/ abstract=1801826.
Blake, D. and E. Biffis (2012). How to start a capital market in longevity risk transfers. Tech. rep., Pensions Institute http://pensions-institute.org/workingpapers/ wp1207.pdf.
Blake, D. and W. Burrows (2001). Survivor bonds: Helping to hedge mortality risk. Journal of Risk and Insurance, vol. 68:339-348.
Blake, D., A. Cairns, G. Coughlan, K. Dowd and R. MacMinn (2012). The new life market. Journal of Risk and Insurance, forthcoming.
Cairns, A., D. Blake and K. Dowd (2008). Modelling and management of mortality risk: a review. Scandinavian Actuarial Journal , vol. 2008(2-3):79-113.
Coughlan, G., D. Epstein, A. Sinha and P. Honig (2007). q-forwards: Derivatives for transferring longevity and mortality risks. Tech. rep., J. P. Morgan Pension Advisory Group, London (July), http://www.lifemetrics.com.
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DeMarzo, P. (2005). Pooling and tranching of securities: A model of informed intermediation. Review of Financial Studies, vol. 18(1):65-99.