SURVIVOR BONDS: HELPING To HEDGE MORTALITY RISK

By David P. Blake, W. Burrows. 2001

348 citations recorded by the source corpus.

Subfields: Accounting, Demography, General Health Professions

View Paper: https://www.semanticscholar.org/paper/5870fd6cb36c0ede0882613648c28d7e3b976eaa

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Citations in the corpus

Longevity Risk, Retirement Savings, and Financial Innovation (2012, neutral): “net the volume of new issuances in the UK exceeded 7 billion pounds in 2009, with comparable numbers reported 7Blake and Burrows (2001) proposed the design of financial instruments for hedging longevity risk, and recommended that governments issue “survival bonds”, to allow the private sector to hed”
Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives (2011, background): “Mortality-linked securities were first proposed by Blake and Burrows (2001) [7] who”
The New Life Market (2013, neutral): “One of the earliest attempts at creating a capital market in longevity-related instruments was the proposal to issue long-dated longevity bonds (or survivor bonds) made over a decade ago (see, e.g., Blake and Burrows, 2001; and Blake et al., 2006a).”
Mortality-dependent financial risk measures (2006, methodology): “3 Longevity bonds were first proposed by Blake and Burrows (2001) (under the name of survivor bonds), and further developed by Lin and Cox (2005a) among others.”
The Simple Analytics of a Pooled Annuity Fund (2005, positive): “An alternative policy strategy which would allow annuity issuers to immunize their systematic longevity risk is for the government to issue "survivor bonds," in which payouts are linked to evolving mortality in a manner analogous to "indexed bonds," whose payouts are linked to evolving price inflati”
An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach (2009, positive): “Blake and Burrows (2001) first proposed that issuing survivor bonds4 could help a pension fund insure against the longevity risk, and more recent studies also extend the issue of securitization of longevity risk (e.”
Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing (2010, positive): “It was targeted at pension plans and annuity providers, and was much closer in nature to the survivor bond proposed by Blake and Burrows (2001).”
Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006, background): “A natural one is a 'classical' longevity bond of the type first proposed by Blake & Burrows (2001), and given the name survivor bond.”
Pricing Mortality Securities with Correlated Mortality Indexes (2011, neutral): “By segregating its cash flows linked to extreme mortality risk, an insurance firm is able to repackage them into securities that are traded in capital markets (Blake and Burrows, 2001; Lin and Cox, 2005; Cox and Lin, 2007).”
Longevity Bonds: Financial Engineering, Valuation, and Hedging (2006, positive): “The EIB/BNP Paribas LB The second bond was much closer in nature to the " classical " survivor bond proposed by Blake and Burrows (2001).”
Mortality Risk Modeling: Applications to Insurance Securitization (2010, positive): “Capital market solutions for unanticipated longevity risk have been explored relatively recently, first appearing in articles by Blake and Burrows (2001), Milevsky and Promislow (2001), Lin and Cox (2005) and others.”
Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* (2006, background): “Long-dated survivor bonds intended to manage longevity risk(5) have recently been revived by Cox, Fairchild and Pedersen (2000)(6), Blake and Burrows (2001) and Lin and Cox (2004). Their origin dates back to Tontine bonds issued by a number of European governments in the 17 and 18 centuries.”
A Two-Factor Model for Stochastic Mortality With Parameter Uncertainty: Theory and Calibration (2006, positive): “2 Blake and Burrows (2001). See also Cox, Fairchild, and Pedersen (2000). 3 For this reason they are also known as survivor bonds (e.”