Concepedia

Longevity Swap Structures

Longevity Swap Structures is a financial derivative framework within life reinsurance that transfers longevity risk from insurers to counterparties by structuring bilateral agreements with payoff mechanisms contingent on the realized survival experience of a specified population.

14

Publications

691

Citations

28

Authors

24

Institutions

Publications per year

2017–2026

6

Parents

Publications

14

Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities

David Blake, Andrew J. G. Cairns, Kevin Dowd · British Actuarial Journal · 2006 · 284 citations · Full text

, , +14

A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES

Andrés M. Villegas, Steven Haberman, Vladimir K. Kaishev et al. · Astin Bulletin · 2017 · 70 citations · Full text

, , +16

Still living with mortality: the longevity risk transfer market after one decade

David Blake, Andrew J. G. Cairns, Kevin Dowd et al. · British Actuarial Journal · 2019 · 59 citations · Full text

, , +17

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

Enrico Biffis, David Blake, Lorenzo Pitotti et al. · Journal of Risk & Insurance · 2014 · 46 citations

, , +16

Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers

Enrico Biffis, David Blake · North American Actuarial Journal · 2014 · 37 citations

, , +17

1–5 of 14

Authors

28

  1. DB
    David Blake

    City, University of London, United Kingdom

    6 publications · 464 citations

    6

    h-index

  2. AK
    Amy Kessler

    Prudential Financial (United States), United States

    3 publications · 95 citations

    3

    h-index

  3. AJ
    Andrew J. G. Cairns

    Heriot-Watt University, United Kingdom

    3 publications · 355 citations

    3

    h-index

  4. KD
    Kevin Dowd

    University of Nottingham, United Kingdom

    3 publications · 355 citations

    3

    h-index

  5. EB
    Enrico Biffis

    Imperial College London, United Kingdom

    3 publications · 109 citations

    3

    h-index

1–5 of 28

Institutions

24

  1. City, University of London

    London, United Kingdom

    6 h-index

    13 publications

    625 citations

  2. Imperial College London

    London, United Kingdom

    3 h-index

    4 publications

    155 citations

  3. Department for Work and Pensions

    London, United Kingdom

    3 h-index

    6 publications

    566 citations

  4. University of Waterloo

    Waterloo, Canada

    2 h-index

    6 publications

    146 citations

  5. Prudential Financial (United States)

    Newark, United States

    2 h-index

    2 publications

    36 citations

  6. Credit Suisse (Switzerland)

    Zurich, Switzerland

    2 h-index

    2 publications

    72 citations

  7. Beijing Normal-Hong Kong Baptist University

    Zhuhai, China

    1 h-index

    1 publications

    26 citations

  8. University of Essex

    Colchester, United Kingdom

    1 h-index

    1 publications

    26 citations

1–8 of 24

Venues

  1. Journal of Risk & Insurance

    4 publications · 123 citations

    4

    h-index

  2. North American Actuarial Journal

    NAAJ · 2 publications · 61 citations

    2

    h-index

  3. SSRN Electronic Journal

    Repository · 2 publications · 38 citations

    2

    h-index

  4. British Actuarial Journal

    2 publications · 343 citations

    2

    h-index

  5. Annals of Actuarial Science

    1 publications · 23 citations

    1

    h-index

1–5