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Still living with mortality: the longevity risk transfer market after one decade

Blake, D.; Cairns, A.J.G.; Dowd, K.; Other, A.N.

Still living with mortality: the longevity risk transfer market after one decade Thumbnail


D. Blake

A.J.G. Cairns

A.N. Other


This paper updates Living with Mortality published in 2006. It describes how the longevity risk transfer market has developed over the intervening period, and, in particular, how insurance-based solutions – buy-outs, buy-ins and longevity insurance – have triumphed over capital markets solutions that were expected to dominate at the time. Some capital markets solutions – longevity-spread bonds, longevity swaps, q-forwards and tail-risk protection – have come to market, but the volume of business has been disappointingly low. The reason for this is that when market participants compare the index-based solutions of the capital markets with the customised solutions of insurance companies in terms of basis risk, credit risk, regulatory capital, collateral and liquidity, the former perform on balance less favourably despite a lower potential cost. We discuss the importance of stochastic mortality models for forecasting future longevity and examine some applications of these models, e.g. determining the longevity risk premium and estimating regulatory capital relief. The longevity risk transfer market is now beginning to recognise that there is insufficient capacity in the insurance and reinsurance industries to deal fully with demand and new solutions for attracting capital markets investors are now being examined – such as longevity-linked securities and reinsurance sidecars.

Journal Article Type Article
Acceptance Date Mar 24, 2018
Online Publication Date Feb 25, 2019
Publication Date 2019
Deposit Date Mar 27, 2018
Publicly Available Date Mar 28, 2018
Journal British Actuarial Journal
Print ISSN 1357-3217
Electronic ISSN 2044-0456
Publisher Cambridge University Press
Peer Reviewed Peer Reviewed
Volume 24
Article Number e1
Public URL


Accepted Journal Article (2 Mb)

Copyright Statement
© Institute and Faculty of Actuaries 2019.
This is an Open Access article, distributed under the terms of the Creative Commons Attribution licence (, which permits unrestricted re-use, distribution, and reproduction in any medium, provided the original work is properly cited.

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