volume 12, issue 1, P153-197 2006
DOI: 10.1017/s1357321700004736
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D. Blake, A. J. G. Cairns, K. Dowd

Abstract: ABSTRACTThis paper addresses the problem of longevity risk — the risk of uncertain aggregate mortality — and discusses the ways in which life assurers, annuity providers and pension plans can manage their exposure to this risk. In particular, it focuses on how they can use mortality-linked securities and over-the-counter contracts — some existing and others still hypothetical — to manage their longevity risk exposures. It provides a detailed analysis of two such securities — the Swiss Re mortality bond issued …

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