Blake, David; Cairns, Andrew; Dowd, Kevin; MacMinn, Richard - In: Journal of Risk & Insurance 73 (2006) 4, pp. 647-672
This article examines the main characteristics of longevity bonds (LBs) and shows that they can take a large variety of forms which can vary enormously in their sensitivities to longevity shocks. We examine different ways of financially engineering LBs and consider problems arising from the...