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My research has supported the introduction and growth of the Life Market, a new global capital market for transferring longevity risk from corporate pension plans and annuity providers to capital market investors in exchange for a risk premium. The main vehicles for transferring this risk are longevity (or survivor) swaps and bonds, designed by the Pensions Institute at Cass and its research collaborators. The world’s first longevity swap was between the UK insurer Lucida (which locked in a fixed future mortality rate on its annuities) and investors (who pay/receive the difference between the actual and fixed rate) which was arranged by the investment bank JP Morgan in 2008. The world’s first longevity bond in 2010 was between SwissRe and investors who receive back a lower principal repayment if SwissRe’s longevity exposure increases above a preset level.
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Social Science Research Network (2023)
Journal of demographic economicsno. 3 (2023): 299-312
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Social Science Research Network (2023)
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REVIEW OF BEHAVIORAL FINANCEno. 3 (2022): 327-344
SSRN Electronic Journalno. 5 (2022): 217
SSRN Electronic Journalno. 3 (2022)
SSRN Electronic Journal (2022)
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