On the economics of the longevity risk transfer market
研究了长寿风险转移市场中不同参与者（原保险人、再保险人、资本市场投资者）的角色如何随市场饱和程度演变，发现再保险人的风险偏好是早期关键驱动力，而市场饱和后再保险人应只向资本市场转移不可分散的风险成分。
Abstract We present a model of a longevity risk transfer market with different market players (primary insurers, reinsurers, and capital market investors) and investigate how market dynamics and the market players' roles evolve with progressing market saturation. We find that reinsurers' appetite for longevity risk is the key driver in the early stage of market development. Since diversification benefits with other businesses decrease with every transaction, the reinsurance market is intrinsically antimonopolistic. With the increasing saturation of the reinsurance sector as a whole, its competitiveness shrinks leading to rising expected risk‐adjusted returns for capital market investors. We show that in a saturated market, reinsurers should assume the entire longevity risk from primary insurers, diversify it within their business mix, and subsequently pass on only specific (nondiversifiable) components of the longevity risk to the capital markets. Our findings provide valuable suggestions on how to make the best use of the market's limited risk absorption capacity.