Modelling longevity bonds: analysing the Swiss Re Kortis bond. (English) Zbl 1348.91150

Hunt, Andrew; Blake, David

Insur. Math. Econ. 63, 12-29 (2015).

Summary: A key contribution to the development of the traded market for longevity risk was the issuance of the Kortis bond, the world’s first longevity trend bond, by Swiss Re in 2010. We analyse the design of the Kortis bond, develop suitable mortality models to analyse its payoff and discuss the key risk factors for the bond. We also investigate how the design of the Kortis bond can be adapted and extended to further develop the market for longevity risk.

MSC:

91B30	Risk theory, insurance (MSC2010)
62P05	Applications of statistics to actuarial sciences and financial mathematics
91D20	Mathematical geography and demography

Keywords:

mortality modelling; age/period/cohort models; general procedure; cointegration; cohort effects; Kortis bond

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