Longevity Risk

Author: Emma McWilliam
Publisher: Risk Books
ISBN: 9781906348533
Published In: March 2011
Format: Paperback
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

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Around the world, a structural shift in demographics is taking place: people are living longer. While an increasing number of people look forward to retirement the implication for firms, funds and governments with hundreds of billions of dollars in defined-benefit pension scheme liabilities is clear: a heightened risk of larger payouts.

This is longevity risk. This book presents methods to price and measure longevity risk and ways to hedge/de-risk through a range of traditional insurance, reinsurance and innovative capital market solutions.

A heightened awareness of the aging population means that all parties have to closely track and monitor their longevity assumptions and developments. This ensures appropriate longevity bases are used in pricing and reserving for longevity risk.

It has also spurred a trend to de-risk, bringing new entrants to the bulk annuity and pension buy-out market, including insurance and reinsurance companies and investment banks, as well as increasing the appetite for longevity risk only deals such as longevity swaps.
Longevity risk is fast emerging as a financial sector in its own right and this new book from Risk Books, provides cutting edge practitioner insight and research around longevity risk in a practical and accessible way.

Edited by Emma McWilliam and drawing on the views of leading industry experts from insurance, reinsurance, capital markets and legal backgrounds “Longevity Risk” provides a 360° view of the market.

Contributors include:

Edouard Debonneuil, Lise He, Jessica Mosher, Nathalie Weiss (Groupe AXA)

Ed Collinge, Joseph Lu (Legal &amp; General Group)

Eli Friedwald, Jason Hurley, Greg Becker (RGA UK Services Limited)

Bridget Browne (Partner Reinsurance limited)

Stephen Makin (Stephen Makin Consulting Limited)

Robert Bugg, Farzana Ismail, Philip Simpson, Nick Dumbreck (Milliman)

Norman Peard, James Morris (Credit Suisse)

Gavin Jones, Alison McKie, Nick Ketley (Swiss Re)

Guy Coughlan (JP Morgan)

Paul Sweeting (University of Kent)

Jennifer Donohue (Cadwalader, Wickersham & Taft LLP)

“Longevity Risk” presents methods to price and measure longevity risk and ways to hedge/de-risk through a range of traditional insurance, reinsurance and innovative capital market solutions.

A key feature of the book is a series of practical case studies that will enable you to apply the new knowledge you learn in a practical way. There are 5 main sections encompassing all the major aspects of this growing market to give you a total understanding of this emerging risk.

Section I – Setting the Scene – provides key background information and facts on the issue and opportunity.

Section II – Pricing Longevity Risk - considers the setting of best estimate base mortality assumptions and alternative longevity projections.

Section III - Reserving and Capital Requirements: - the impact of Solvency II and economic capital modeling for longevity risk.

Section IV – Risk Management and De-Risking Solutions: - wider considerations will be given to the natural offset of pandemic risk and legal considerations of transactions.

Section V - Capital Market Developments: - the desirable features, different roles of players, longevity indices and capital market structures.

In order to take advantage of this fast emerging market and the opportunities presenting themselves “Longevity Risk” is regarded as key reading for (re)insurance company professionals, finance managers/directors, investors, actuaries, corporate sponsors, trustees of pension schemes, investment bankers and graduate students/academics.
INTRODUCTION

Emma McWilliam

Milliman

Baroness Sally Greengross

Chief Executive of the International Longevity Centre

PART I SETTING THE SCENE

1. Ageing Populations and Changing Demographics

Edouard Debonneuil, Lise He, Jessica Mosher, Nathalie Weiss

Groupe AXA

2. Magnitude of the Longevity Issue: The Market Opportunity and Capacity

Ed Collinge, Joseph Lu

Legal &amp;amp; General Group

PART II PRICING LONGEVITY RISK

3. Pricing Longevity Risk: Establishing Base Mortality Level

Eli Friedwald

RGA UK Services Limited

4. Projecting Future Mortality

Bridget Browne

Partner Reinsurance limited

5. Underwritten Annuities: The Market and Pricing of Longevity Risk

Jason Hurley, Greg Becker

RGA UK Services Company Ltd

PART III RESERVING AND CAPITAL REQUIREMENTS

6. Reserving and Regulatory Requirements

Stephen Makin

Stephen Makin Consulting Limited

7. Economic Capital, Modelling and Longevity Risk

Stephen Makin

Stephen Makin Consulting Limited

PART IV RISK MANAGEMENT AND DE-RISKING

8. De-Risking Insured Annuity Portfolios

Robert Bugg, Farzana Ismail, Philip Simpson, Nick Dumbreck

Milliman

9. Longevity De-Risking Solutions for Pension Schemes

Norman Peard, James Morris

Credit Suisse

10. Hedging Longevity Risk through Reinsurance

Gavin Jones

Swiss Re

11. Extreme Mortality Risk as a Natural Hedge?

Alison McKie, Nick Ketley

Swiss Re

PART V CAPITAL MARKET DEVELOPMENTS

12. Capital Markets and Longevity Risk Transfer

Guy Coughlan

JP Morgan

13. Longevity Indices

Paul Sweeting

University of Kent

14. Legal Considerations for Longevity Risk Transactions

Jennifer Donohue

Cadwalader, Wickersham &amp;amp; Taft LLP
Emma McWilliam

Emma is a senior consulting actuary at Milliman, London. She has more than fifteen years of experience in the insurance industry and has worked internationally advising insurance and reinsurance companies, including multi-nationals on assignments in the UK, US, Australia, Singapore, Switzerland, Germany, Netherlands, France and Belgium.

She has significant experience in the area of annuities and longevity risk having advised market participants on acquiring blocks of annuity business, setting longevity pricing bases and terms of trade, including base mortality table selection, improvement factors, credibility approach, underwriting factors, experience studies and medical advancement considerations.

She has also reviewed mortality pricing bases for annuity longevity transactions, undertaken strategic assignments to identify life insurance securitisation opportunities and worked with investment banks on the development of a longevity bond and swap structures and reviewed longevity risk structures for transferring this risk to the capital markets.

She is a regular presenter at industry conferences around longevity risk and capital markets. She has also co-authored a number of publications and articles, primarily covering the areas of longevity risk and prior to this IFRS.

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