This study examines pension buyout transactions and longevity risk securitization in a common framework, emphasizing the role played by asymmetries in capital requirements and mortality forecasting technology. The results are used to develop a coherent model of intermediation of longevity...

Governments are among the few agencies that can help the private sector hedge against the increasing problem of aggregate longevity risk. David Blake, Tom Boardman, Andrew Cairns and Kevin Dowd from the Pensions Institute at Cass Business School urge governments to issue longevity bonds as soon...

This study sets out a framework to evaluate the goodness of fit of stochastic mortality models and applies it to six different models estimated using English & Welsh male mortality data. The methodology exploits the structure of each model to obtain various residual series that are predicted to...

Many, if not most, individuals cannot be regarded as 'intelligent consumers' when it comes to understanding and assessing different investment strategies for their defined contribution pension plans. This gives very little incentive to plan providers to improve the design of their pension plans....

This study sets out a backtesting framework applicable to the multi-period-ahead forecasts from stochastic mortality models and uses it to evaluate the forecasting performance of six different stochastic mortality models applied to English & Welsh male mortality data. The models considered are:...

The huge economic significance of longevity risk for corporations, governments and individuals is beginning to be recognized and quantified. The traditional insurance route for managing this risk is capacity constrained, leaving the capital markets to provide an effective solution. We consider...

A single valuation basis (using market values) now dominates the valuation of pension scheme assets and has replaced the previously dominant actuarial and accounting bases.The same cannot be said for pension scheme liabilities. There are three different valuation bases for liabilities currently...

In this report, we ask whether the cost of pension scheme membership in the UK (we use the total expense ratio or TER) offers value for money to the ‘average' member, by which we mean the 90-97% of employees who will be automatically enrolled into the default fund. The key features of a...

This article examines the causes of the Global Banking Crisis (GBC) and finds a number of important issues that still need to be addressed, some of which have not been discussed in the previous major studies of the GBC. We offer solutions for dealing with these issues. These include: a proper...

"An Unreal Number" examines pension accounting and, in particular, its effects on the results and financial position of the sponsor of a defined benefit pension plan. Current pension accounting standards are better than their predecessors because they seek to provide information about the value...