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Life Settlements and Longevity Structures

Life Settlements and Longevity Structures

Geoff Chaplin, Jim Aspinwall, Mark Venn
2009
T4 274 pages · about 4h 34m to read Open Librarygoodreads

The one book specifically on buying life policies as an investment.

Summary

The reference has not verified this book in detail; the summary states only what the title, author and subject establish.

Geoff Chaplin, Jim Aspinwall and Mark Venn wrote this on the market in which life insurance policies are bought from their original owners by investors, who then pay the premiums and collect the death benefit. The related longevity market transfers the risk that a population lives longer or shorter than expected.

The technical content concerns mortality modelling, the valuation of a policy given the insured's health and the premium schedule, the construction of portfolios large enough for the law of large numbers to operate, and the structures through which these cash flows have been securitised. The longevity material covers the instruments through which pension funds transfer longevity risk to insurers and capital markets, including longevity swaps and buy-in and buy-out transactions.

The reference has not verified this book in detail, and this entry reflects its subject matter rather than a close reading. Readers should be aware that the life settlement market experienced substantial investor losses after 2008, largely because life expectancy estimates supplied by medical underwriters proved systematically too short, and that the regulatory treatment of the market has changed in several jurisdictions since publication.

Key takeaways 6

  1. A life settlement transfers a policy from an owner who values it below its economic worth to an investor who pays premiums and collects the benefit.
  2. Valuation depends entirely on the life expectancy estimate, and errors in that estimate compound because the investor keeps paying premiums.
  3. Portfolios must be large and diversified across individuals for mortality risk to behave statistically rather than idiosyncratically.
  4. Longevity risk is the mirror of mortality risk, and pension funds and life insurers hold naturally offsetting exposures.
  5. Longevity swaps let a pension scheme exchange uncertain future payments for fixed ones without transferring the underlying assets.
  6. Returns in these markets are uncorrelated with financial markets but highly sensitive to systematic revisions in medical underwriting.

Who should read it

Institutional investors and pension advisers examining mortality and longevity risk transfer, with the caveat that this entry is not verified in detail.

Similar books 6

Chosen by shared topics, the entries that hold them, and the people who recommended both.

Insurance Linked SecuritiesInsurance Linked Securities
T4 Insurance Linked Securities
Christoph Weber · 2011
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Academic treatment of the securitisation of non-life risk.

Investing in Insurance Risk
T3 Investing in Insurance Risk
Alex Krutov · 2010
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Covers cat bond pricing and the investor case for the asset.

Non-Life Insurance-Linked Securities
T4 Non-Life Insurance-Linked Securities
Thomas Nowak, Andreas Richter, Thomas Hartung · 2014
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Risk and pricing analysis of property-catastrophe insurance-linked securities.

The Handbook of Insurance-Linked SecuritiesThe Handbook of Insurance-Linked Securities
T3 The Handbook of Insurance-Linked Securities
Pauline Barrieu, Luca Albertini · 2009
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The closest thing to a cat bond reference; several chapters on structure and triggers.

A Complete Guide to the Futures MarketsA Complete Guide to the Futures Markets
T4 A Complete Guide to the Futures Markets
Jack D. Schwager · 1984
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Second edition 2017 with Mark Etzkorn, titled A Complete Guide to the Futures Market.

A Demon of Our Own DesignA Demon of Our Own Design
T2 A Demon of Our Own Design
Richard M. Bookstaber · 2007
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How financial innovation made markets more crisis-prone, from a risk manager.

Where it sits in the reference 1

Life settlements and insurance-linked securities
Assets

Topics

Finance and MarketsInvesting