Technical Issues in Securitization of Longevity Risk

在过去的100年里，发达国家的预期寿命以大约每十年2.5岁的速度增加。寿命的巨大提高是现代文明最伟大的成就之一，但在意想不到的程度上，寿命的提高可能会给政府和养老金计划带来问题。低估寿命改善的不利影响是巨大的，特别是在当前低利率环境下，未来的养老金和年金负债并未大幅贴现。 最近，一些养老金提供商从资本市场寻求长寿风险问题的解决方案。它们与投资银行等交易对手进行交易，交易与未来寿命改善有关的证券。长寿风险证券化自21世纪初出现以来，市场发展缓慢。发展缓慢的部分原因是几个尚未解决的重要技术问题。在这个研究项目中，研究人员将重点关注其中的一些问题。具体地说，该项目的目标有三个： (1)建立可供长寿风险市场参与者参考的多总体随机死亡率模型； (2)为最近出现的更复杂的长寿证券化制定定价方法； (3)制定策略，允许养老金计划有效对冲其长寿风险敞口。 预计拟议的研究结果将加速长寿风险市场的增长，促进长寿风险转移到能够更好地处理其财务后果的各方。

Over the past 100 years, life expectancies in the developed world have increased at a rate of approximately 2.5 years per decade. The enormous improvement in longevity is one of the greatest achievements of modern civilization, but, to the extent that it is unanticipated, longevity improvement can pose problems to governments and pension plans. The adverse impact of under-estimating longevity improvement is huge, especially in the current low interest rate environment where future pension and annuity liabilities are not heavily discounted. Recently, some pension providers have sought solutions to the problem of longevity risk from capital markets. They trade, with counterparties such as investment banks, securities that are linked to future longevity improvements. Since its emergence in early 2000s, the market for longevity risk securitization has developed slowly. The slow development is due partly to several important technical issues that are yet to be resolved. In this research project, the investigator will focus on some of these issues. Specifically, the objectives of this project are threefold: (1) to develop multi-population stochastic mortality models, which are useful for participants in the longevity risk market; (2) to develop methods for pricing more complicated longevity securitizations that have recently emerged; (3) to develop strategies that permit pension plans to hedge their longevity risk exposures effectively. It is expected that the results of the proposed research will accelerate the growth of the longevity risk market, facilitating the shift of longevity risk to parties who are better able to handle its financial consequences.