Artikel
On the economics of the longevity risk transfer market
We present a model of a longevity risk transfer market with different market players (primary insurers, reinsurers, and capital market investors) and investigate how market dynamics and the market players' roles evolve with progressing market saturation. We find that reinsurers' appetite for longevity risk is the key driver in the early stage of market development. Since diversification benefits with other businesses decrease with every transaction, the reinsurance market is intrinsically antimonopolistic. With the increasing saturation of the reinsurance sector as a whole, its competitiveness shrinks leading to rising expected risk‐adjusted returns for capital market investors. We show that in a saturated market, reinsurers should assume the entire longevity risk from primary insurers, diversify it within their business mix, and subsequently pass on only specific (nondiversifiable) components of the longevity risk to the capital markets. Our findings provide valuable suggestions on how to make the best use of the market's limited risk absorption capacity.
- Language
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Englisch
- Bibliographic citation
-
Journal: Journal of Risk and Insurance ; ISSN: 1539-6975 ; Volume: 90 ; Year: 2023 ; Issue: 3 ; Pages: 597-632 ; Hoboken, NJ: Wiley
- Classification
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Wirtschaft
- Subject
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longevity risk hedging
longevity risk transfer market
- Event
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Geistige Schöpfung
- (who)
-
Börger, Matthias
Freimann, Arne
Ruß, Jochen
- Event
-
Veröffentlichung
- (who)
-
Wiley
- (where)
-
Hoboken, NJ
- (when)
-
2023
- DOI
-
doi:10.1111/jori.12435
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Börger, Matthias
- Freimann, Arne
- Ruß, Jochen
- Wiley
Time of origin
- 2023
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