Informed Intermediation of Longevity Exposures
研究了养老金买断交易和长寿风险证券化，强调资本要求和死亡率预测技术不对称的作用，为养老金买断市场的中介行为提供预测和监管启示。
A BSTRACT We examine pension buyout transactions and longevity risk securitization in a common framework, emphasizing the role played by asymmetries in capital requirements and mortality forecasting technology. The results are used to develop a coherent model of intermediation of longevity exposures, between defined benefit pension plans and capital market investors, through insurers operating in the pension buyout market. We derive several predictions consistent with the recent empirical evidence on pension buyouts and offer insights on the role of buyout firms and regulation in the emerging market for longevity‐linked securities. A multiperiod version of the model is used to explore the effects of longevity risk securitization on the capacity of the pension buyout market.