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- Title
The Fundamentals of Longevity Risk.
- Authors
NAKADA, PETER; REAUX, CHRIS; HONARKHAH, MEHRDAD; HORNSBY, CHRIS; TOLLA, DEAN; VESSENES, REBECCA
- Abstract
The authors' firm, Risk Management Solutions, has had a front-row seat in the development of catastrophe-linked securities from an esoteric, fringe asset class to a mainstream, zero-beta, alternative fixed-income asset class. Investors new to catastrophe-linked securities looked to gain enough comfort to take on catastrophe risk. The questions these investors asked followed a similar pattern: What does the historical record tell me? How can I account for future risks that are not in the historical record? How does the risk relate to my intuition around "real world" developments? Am I on the wrong side of an information asymmetry? This article aims to shed light on these questions for investors new to the asset class. In addition, the article discusses a particular approach to understanding longevity risk using the RMS LifeRisks model.
- Subjects
RISK Management Solutions Inc.; CATASTROPHE bonds; FIXED-income securities; SYSTEMIC risk (Finance); LONGEVITY
- Publication
Journal of Alternative Investments, 2014, Vol 17, Issue 1, p55
- ISSN
1520-3255
- Publication type
Article
- DOI
10.3905/jai.2014.17.1.055