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Modelling longevity bonds: analysing the Swiss Re Kortis bond. (English) Zbl 1348.91150

Summary: A key contribution to the development of the traded market for longevity risk was the issuance of the Kortis bond, the world’s first longevity trend bond, by Swiss Re in 2010. We analyse the design of the Kortis bond, develop suitable mortality models to analyse its payoff and discuss the key risk factors for the bond. We also investigate how the design of the Kortis bond can be adapted and extended to further develop the market for longevity risk.

MSC:

91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
91D20 Mathematical geography and demography
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