Biffis, Enrico; Blake, David; Pitotti, Lorenzo; Sun, Ariel - Volkswirtschaftliche Fakultät, … - 2011
Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow pension schemes and annuity … providers to swap out longevity risk, but introduce counterparty credit risk, which can be mitigated if not fully eliminated by … collateralization. We examine the impact of bilateral default risk and collateral rules on the marking to market of longevity swaps, and …