CDHA CAAR

“The Longevity of Academicians: Evidence from the Saxonian Academy of Sciences and Humanities in Leipzig,” by Maria Winkler-Dworak and Heiner Kaden (VID Working Paper 03/2013, 2013, .pdf format, 17p.).

Abstract:

This study addresses the mortality of the members of the Saxonian Academy of Sciences and Humanities in Leipzig. In fact, learned societies have been shown to present vanguard groups in the achievement of longevity. We use biographical records from the members of the Saxonian Academy of Sciences from 1846 to 2010 and compare their mortality to German life table estimates, where particularly attention is paid to the mortality differentials between eastern and western Germany. The Saxonian academicians show indeed a higher life expectancy at age 60 than the general German male population, where the gap has been widening since the 1950s. Comparing the life expectancy values for the Saxonian academicians to available estimates of various European learned societies yields a similar longevity, suggesting that the survival of the academicians is less determined by national mortality conditions but that academicians rather share a common health advantage.

www.oeaw.ac.at/vid/download/WP2013_03.pdf

“Evidence on Individual Preferences for Longevity Risk,” by Gaetan Delprat, Marie-Louise Leroux, and Pierre-Carl Michaud (Working Paper No. 4196, April 2013, .pdf format, 19p.). Note: Links to the abstract and full-text can be found at:

www.cesifo-group.de/ifoHome/publications/working-papers/CESifoWP/CESifoWPdetails?wp_id=19087556

“Regional hot spots of exceptional longevity in Germany,” by Rembrandt D. Scholz and Sebastian Klusener (WP2012-028, November 2012, .pdf format, 25p.). Note: Links to the abstract and full-text can be found at:

www.demogr.mpg.de/en/projects_publications/publications_1904/mpidr_working_papers/regional_hot_spots_of_exceptional_longevity_in_germany_4701.htm

“How to Start a Capital Market in Longevity Risk Transfers,” by David Blake and Enrico Biffis (PI-1207, September 2012, .pdf format, 9p.).

Abstract:

A market in longevity risk transfers can succeed if longevity risk exposures are optimally pooled, tranched, and securitized. This is necessary to deal with the issue of asymmetric information, where the seller or hedger of the exposure has more privately held information about it than any potential investor in the risk. The optimal way to transfer longevity risk is through a principal-at-risk bond specifically designed to minimize the sensitivity of the bond’s value to private information while appealing to investors with different risk appetites.

www.pensions-institute.org/workingpapers/wp1207.pdf

“Robust Hedging of Longevity Risk,” by Andrew J.G. Cairns (PI-1206, August 2012, .pdf format, 33p.).

Abstract:

We consider situations where a pension plan has opted to hedge its longevity risk using an index-based longevity hedging instrument such as a q-forward or deferred longevity swap. The use of index-based hedges gives rise to basis risk, but benefits, potentially, from lower costs to the hedger and greater liquidity. We focus on quantification of optimal hedge ratios and hedge effectiveness and investigate how robust these quantities are relative to inclusion of recalibration risk, parameter uncertainty and Poisson risk. We find that strategies are robust relative to the inclusion of parameter uncertainty and Poisson risk. In contrast, single-instrument hedging strategies are found to lack robustness relative to the inclusion of recalibration risk at the future valuation date, although we also demonstrate that some hedging instruments are more robust than others. To address this problem, we develop multi-instrument hedging strategies that are robust relative to recalibration risk.

www.pensions-institute.org/workingpapers/wp1206.pdf