Denuit, Michel; Devolder, Pierre; Goderniaux, Anne-Cécile - In: Journal of Risk & Insurance 74 (2007) 1, pp. 87-113
Longevity risk is a major issue for insurers and pension funds, especially in the selling of annuity products. In that respect, securitization of this risk could offer great opportunities for hedging. This article proposes to design survivor bonds which could be issued directly by insurers. In...