Contract structure and risk aversion in longevity risk transfers
研究了买卖双方风险厌恶程度不同时，静态与动态长寿互换合同的优劣，发现买方更厌恶风险时静态合同更优，卖方更厌恶风险时动态合同更优，且卖方对死亡率分布的不确定性会消除静态互换市场。
This paper develops an economic framework for optimal longevity risk transfer between a buyer and a seller with different risk aversions. We compare static (long-dated, pre-committed) and dynamic (short-dated, rolled) longevity swaps in a Stackelberg game. We find that static contracts are preferred when the buyer is more risk averse, while dynamic contracts are preferred when the seller is more risk averse. For the capital-market setting, we extend the benchmark by introducing seller-side ambiguity about the mortality distribution and robust max-min valuation. Even moderate ambiguity can eliminate the market for static swaps, while dynamic designs remain viable. We then extend the analysis to index-based swaps with basis risk: relative to indemnity swaps, optimal loadings are lower and gains are smaller for both parties, though the static-dynamic preference pattern is unchanged.