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Abstract

longevity risk to the capital market. Our structure follows the concept of synthetic

CDO. The reinsurance contract, which is similar to a CDS (Credit Default Swap), is

first set between the insurer and the SPV. Then, the longevity bond is constructed and

divided into four tranches according to the portfolio loss rate distribution. The

2 Associate Professor, Soochow University, Taiwan, Email:syang@bmath.scu.edu.tw, Corresponding

Author

3 Postgraduate Student, National Taiwan University, Taiwan

2

The Design of Securitization for Longevity Risk

Luciana and Vigna(2005). We value the longevity risk and calculate the transformed

distribution under Wang’s method to consider the market price of longevity risk. A

3

The Design of Securitization for Longevity Risk

I. Introduction

A. Longevity Risk

The term “longevity risk” has an opposite meaning of the term “mortality risk”. Both

of them are often used interchangeably. Mortality refers to the rate of death, while

longevity refers to the length of life. For insurers providing life contracts, sudden

mortality shocks will cause capital insufficiency. On the other hand, unexpected

decline in mortality may bring serious financial loss to pension plans. As mortality

has been improving for several decades, risk management of longevity for annuity

insurer becomes more and more important. In addition, social security reform and the

shift of pension plan from defined benefit (DB) to defined contribution (DC) pension

4

The Design of Securitization for Longevity Risk

plans increase the demand for commercial annuity products. It also makes longevity

dealing with this potential mortality improvement risk exposure is crucial for either

social security system or private annuity providers. In this study, we introduce how to

B. Advantages of Securitization

However, the former has more advantages than the latter does. Dowd (2003) argued

that purchase of survivor bonds would enable insurance companies to lay off

5

The Design of Securitization for Longevity Risk

mentioned that many life insurance companies are less willing to buy reinsurance

covering for longevity risk because of its expensive price and potential credit risk of

the counterparty. Securitization can transfer mortality risk to capital market, which

has enough capital to absorb catastrophe mortality risk and a low correlation to

mortality risk. Lin and Cox(2005) also mentioned that holding capital by insurance

companies will transfer that cost to policy holders, which will make them loss

6

The Design of Securitization for Longevity Risk

only reduce large capital costs but also introduce a new investment opportunity to the

capital market.

The first mortality based security was the mortality bond, with the face amount of

$400 million, issued by Swiss Re in Dec.2003 and matured on Jan. 2007. The bond’s

principal is at risk and only if no catastrophe mortality risks happen, investors can get

back full amount at maturity. Lin and Cox (2005) used geometric Brownian motion

with jump to estimate parameters based on U.S. mortality data from 1900 to 1998 and

simulated future mortality index to price the Swiss Re. deal. They found that the

7

The Design of Securitization for Longevity Risk

Swiss Re. deal over-compensates investors because insurer behaves like a risk averter

when it faces unhedgeable risks. After the issuance of Swiss Re. mortality bond, in

Nov, 2004 BNP Paribas announced a long-term longevity bond for both U.K. pension

plans and other annuity providers to hedge their longevity risk. The bond had a 25-

year maturity with the face amount of ￡ 540 million. Its coupon payments were

linked to a survivor index based on the realized mortality rates of 65-aged English and

Welsh males in 2002. Although the issue attracted much public attention, it didn’t

bring enough demand and was later withdrawn for redesign. Blake, Cairns, Dowd

(2006) noted some problems in this security. They found that a bond with a 25-year

maturity provides less effective hedge than a bond with a longer duration and that

8

The Design of Securitization for Longevity Risk

annuitants might experience more rapid mortality improvements than the population

Although there are no such survivor derivatives issued in the market, some types of

longevity risk securitization have been proposed by many researches. Lin and Cox

(2005) designed a bond contract to hedge the loss portion that actual payments to

annuitants exceed a preset level. A special purpose vehicle (SPV) sells reinsurance to

an annuity provider and issues a bond to investors with floating coupon payments

linked to actual survivor rate. When experienced survivor rate is larger than

9

The Design of Securitization for Longevity Risk

previously projected one, coupon payments to investors will reduce a portion equal to

the benefit paid to the insurer. On the contrary, investors may have more coupons if

annuitants die sooner than expected. As a result, the aggregate cash flow out of the

SPV annually is the same. If the insurance premium and proceeds from sale of the

longevity bond are sufficient, the SPV can buy a “straight bond” and have exactly the

required coupon cash flow it needs to meet its obligation to the insurer and the

model stochastic dynamic mortality for pricing the survivor bond. They supposed

that an insurer issues an index-linked floating coupon bond and collects these

proceeds to buy a fixed-rate coupon bond. The difference between fixed-rate coupons

10

The Design of Securitization for Longevity Risk

received and floating rate coupons paid out is set to be the same amount as the loss

portion of the insurer when annuitants live longer. Therefore, the additional amount

paid to annuitants can be simply covered via this transaction. Dowd, Blake, Cairns,

than survivor bonds. They argued that survivor swaps are more tailor-made securities

which can be arranged at lower transaction costs and are more easily cancelled than

traditional bond contracts. Survivor swaps need only the counterparties, usually life

4 Readers can refer to D. Blake, A. J. G. Cairns and K. Dowd (2006), “Living With Mortality:

Longevity Bonds And Other Mortality-Linked Securities” for more types of survivor derivatives.

11

The Design of Securitization for Longevity Risk

E. Mortality Model

Before going on to securitization, we must know first the trends of the underlying

risk. Since mortality has improved in an unexpected way in the past decades, we can

not project future mortality only based on the static mortality table. Besides Lee-

Carter (1992) mortality model, recent researches have proposed many other mortality

models. Blake, Cairns, Dowd(2005) use a two factor model for stochastic mortality to

fit English and Welsh males aged 65 from 1961 to 2002 and from 1982 to 2002

respectively. They found that the level of survivor index based on 1982-2002 data is

higher than that based on 1961-2002 data, which means mortality improves much

more significant in recent years. Luciano and Vigna (2005) used stochastic processes

12

The Design of Securitization for Longevity Risk

to model the random evolution of the force of mortality. They adopted both mean-

reverting and non mean-reverting processes to test the accuracy of the fit to the U.K.

population, and found that the mean-reverting processes were not adequate. It is true

that mortality won’t improve to a certain degree and then turn to be worse.

F. Agenda

In this research, we first project future survivor probability of US mortality data under

the non mean-reverting Feller process introduced in Luciano and Vigna (2005). We

then value the longevity risk and calculate the transformed distribution under Wang’s

method to consider the market price of longevity risk. Hereafter, the tranching

13

The Design of Securitization for Longevity Risk

technique is utilized to design a security for longevity risk. The methodology used in

14

The Design of Securitization for Longevity Risk

A. Survivor Probability

To understand the impact of longevity risk for pricing the security, we use the

introducing the survivor probability, we first define the survivor function (Luciano

15

The Design of Securitization for Longevity Risk

where T is the random variable that describes the life duration of an individual aged

0

T0

aged 0 will still survive to time t. So the survivor function can be rewritten as the

t x

S (x + t) (2)

t p x = P (Tx > t ) =

S (t )

16

The Design of Securitization for Longevity Risk

x

d (3)

µx = − log S ( x)

dx

In other words,

x

S ( x) = exp(− ∫ µ t dt )

0

x +t (4)

S ( x + t ) exp(− ∫0 µ t dt ) t

t px =

S ( x)

= x

exp(− ∫ µ t dt)

= exp(− ∫0 µ x+t dt)

0

17

The Design of Securitization for Longevity Risk

x x x

where µ (t ) in Luciano and Vigna (2005) indicates the force of mortality for a

x

specific cohort age x+t of an individual aged x at time t=0. However, we explain it

another way. We define that µ (t ) is the force of mortality for any age x over the

x

time period t. That is, we look at the rows of mortality table. So the parameter a,

which depicts the trend of mortality path, is negative. W(t) is a standard Brownian

18

The Design of Securitization for Longevity Risk

motion and σ > 0 . This process has an advantage that it will not generate the

t

µ x (t ) = µ x (0)e + σ ∫ e a ( t − s ) µ x ( s) dW ( s)

at (6)

0

19

The Design of Securitization for Longevity Risk

0.35

x=65-69

x=70-74

0.3

x=75-79

x=80-84

0.25 x=85-89

x=90-94

force of mortality

0.2

0.15

0.1

0.05

0

1965 1970 1975 1980 1985 1990 1995 2000

year t

Figure 1: Average force of mortality for US males of age x=65-69, 70-74, 75-79, and so on.

The US mortality table is selected from Human Morality Database (HMD)5. HMD

has US mortality tables from 1946 to 2003, from which the trend of mortality

improvement under each age can be observed. We choose data after 1965 because

mortality rates before 1965 are more volatile and do not show an obvious trend of

20

The Design of Securitization for Longevity Risk

improvement. For simplification, an assumption is made that the mortality of any age

improves at the same rate for every interval between age 65 and 69, age 70 and 74,

and so on. Therefore, we take average values of force of mortality at each interval

and estimate parameters in Eq.(5) based on these values. The method of least squares

is used to estimate the parameters of FEL process in fitting the rows of mortality table

80-84

85-89

90-94

65-69

70-74

0.044

0.065

0.095

0.15

0.23

0.36

simulated value

0.042

0.35 observed value

0.22

0.09

0.14

0.06

0.04

0.34

0.21

0.085

0.038

0.13

0.33

0.055

0.2

force of mortality

force of mortality

0.036

0.08

0.32

0.034

0.12

0.19

0.05

0.31

0.075

0.032

0.18

0.045

0.11

0.3

0.03

0.07

0.17

0.29

0.028

0.04

0.1

0.065

0.16

0.28

0.026

0.024

0.09

0.15

0.27

0.06

1965 1970 1975 1980 1985 1990 1995

year t

21

The Design of Securitization for Longevity Risk

22

The Design of Securitization for Longevity Risk

Figure 2: Fitness of FEL process to US mortality table, 1965-1999. The broken line is the observed

average force of mortality between age intervals, and the continuous line is force of mortality generated

from FEL process. FEL process is best fit to younger ages because the observed data are smoother

curves. Whereas the observed data for older ages are more volatile, FEL process is not fit well to these

ages.

23

The Design of Securitization for Longevity Risk

With parameters above, the projection of future force of mortality can be easily

obtained via Eq.(6). We take the force of mortality for ages 65-94 in 2000 mortality

table (t=0) as initial values in FEL process and simulate 100,000 paths for each age

65

expected survivor probability of an individual aged 65+t with an initial age x=65 at

24

The Design of Securitization for Longevity Risk

0.45

observed value

0.4 95% confidence interval bound

forecasting value

0.35 95% confidence interval bound

0.3

force of mortality

0.25

0.2

0.15

0.1

0.05

0

2000 2005 2010 2015 2020 2025 2030

year t

MAPE=0.011966984.

25

The Design of Securitization for Longevity Risk

0.9

0.8

0.7

survivor probability

0.6

0.5

0.4

0.3

0.2

projection of survivor probability

0.1 survivor probability based on Wang's Transformation

0

2000 2005 2010 2015 2020 2025

year t

Figure 4: Future survivor probability of US males aged 65 in 2000. Broken line plots future survivor

probability calculated by Eq.(4). Continuous line plots survivor probability based on Wang’s

26

The Design of Securitization for Longevity Risk

As mortality improves significantly, annuity providers would suffer a great loss when

the expected death rates of annuitants are lower than the realized ones. In this section,

we will first value the longevity risk and then introduce a long-term longevity bond

utilizing structure financing technique to transfer the risk to the capital market.

An insurer (or annuity provider) suffers losses if the realized death rates of annuitants

B * ( X t − X t ) , if X t > X t (7)

Lt =

0 Xt < Xt

27

The Design of Securitization for Longevity Risk

where L : The loss (extra payment to annuitants) the insurer suffers at time t.

t

t : time =1,2,…,30.

t

is, X ) with the survivor probability, p , projected under FEL process. In order to

0 t 65

28

The Design of Securitization for Longevity Risk

manage its longevity risk, the insurer may want to transfer this potential loss to an

SPV via reinsurance. The reinsurance premium is equal to the present value of

T

PV ( EL ) = ∑ E ( Lt ) × d (0, t ) (8)

t =1

d (0, t ) : Default free zero coupon price with face value of $1 at maturity time t.

P

29

The Design of Securitization for Longevity Risk

In our example, we define that the SPV collects reinsurance premium annually and

distributes them to investors as coupon payments. We will come back to this point

later, when presenting the design of longevity bond. We assume the number of initial

cohort X is 10,000 and annuity payout per person is $1,000 each year.

0

B. Wang Transform

30

The Design of Securitization for Longevity Risk

Sharpe ratio, describing excess return per unit of risk, is a measure of risk-adjusted

performance for assets in complete market. It is also called “market price of risk.”

However, Sharpe ratio can not be applied to measuring market price of insurance risk

because insurance products are not traded in the market. Fortunately, Wang (2000,

2001) has proposed a method of pricing risks that unifies financial and insurance

pricing theories. The method is called Wang transform which is widely used in

described as following:

31

The Design of Securitization for Longevity Risk

Fλ* ( x ) = Φ (Φ −1 ( F ( x )) − λ ) (10)

where Φ is the standard normal cumulative distribution function and λ is the market

price of risk for insurance products. We set λ equal to 20%6 and calculate the

t

p65 which is shown in Figure 4. Based on

t

transformed distribution, the risk premium for investors to bear longevity risk is

6 λ can be calculated given the market price of annuity. As we can not find market price of annuity, λ is

set exogenously and is a reasonable estimate of λ because Lin and Cox (2005) estimated λ to be 0.1792

for male annuitants and 0.2312 for female annuitants by using US mortality data.

32

The Design of Securitization for Longevity Risk

considered in the expected loss, so we can discount it at risk-free interest rate and

calculate reinsurance premium in Eq.(9). Assuming that the risk-free rate follows

under risk-neutral probability transition, we have zero coupon bond price at t=0:

2γe ( a +γ ) t / 2 2

A(0, t ) = [ γ ⋅t

] 2 ab / σ

(γ + a )(e − 1) + 2γ (12)

2(e γ ⋅t − 1)

B (0, t ) =

(γ + a )(e γ ⋅t − 1) + 2γ

γ = a 2 + 2σ 2

33

The Design of Securitization for Longevity Risk

34

The Design of Securitization for Longevity Risk

Premium

C

Equity

Proceeds

High

Aa3

Aa1

t

A3

Contingent

quality

Payment

bond (L t)

Insurer

SPV

Figure 5: Structure of Securitization of Longevity Risk. The SPV receives reinsurance premium and

issues several bonds with different ratings to investors. The premium is transferred to investors as

coupon payments and the principal is responsible for the loss of an insurer.

35

The Design of Securitization for Longevity Risk

The structure of this securitization is the same as other asset-based securities. For an

insurer and SPV (Special Purpose Vehicle), the insurer pays a level premium annually

to the SPV and purchases reinsurance from it. It is similar to set a credit default swap

(CDS) between two counterparties. The SPV then issues securities to investors,

depositing proceeds in a high quality bond collateral, and distributes the premium

t

example, we calculate the reinsurance premium via Eq. (8), Eq.(9) under Wang’s

transformed survivor rate distribution. For investors of Aa1, Aa3, and A3 bond, they

36

The Design of Securitization for Longevity Risk

respectively.

The different design from other mortality-based securities in our research is that the

credit tranche technique is applied in pricing the longevity bond. Credit tranching is

and Collateralized Debt Obligation (CDO). Banks can sell receivables, bonds or

debts, and issue CBO or CDO to transfer credit risk and enhance liquidity of their

assets. The concept of credit tranching is to divide a portfolio of asset into several

bonds of different ratings according to their expected loss rates. The most junior

tranche, usually equity tranche, takes losses first when the portfolio starts to lose.

37

The Design of Securitization for Longevity Risk

Then, A3 tranche, in our example, takes loss in turn when equity tranche is retired,

Assuming that an insurer must pay immediate life annuities to 10,000 annuitants all

aged 65 at time 0. The payment rate is $1,000 per annuitant per year. The cumulative

premium is equal to the present value of future annuity payout, which is calculated

under expected survivor rate from FEL process. Therefore, L is denoted as the

t

additional annuity payout of an insurer at each time t when actual survivor rate is

38

The Design of Securitization for Longevity Risk

higher than expected one. L is zero because the initial value of force of mortality in

0

FEL process is given in 2000 mortality table and consequently each simulation path

yields the same value at t=0. The expected loss distribution is plotted in Figure 6.

5

x 10

3

expected loss

2.5

2

expected loss

1.5

0.5

0

2000 2005 2010 2015 2020 2025 2030

year t

39

The Design of Securitization for Longevity Risk

Figure 6: Expected loss from 2000 to 2029. The standard deviation of survivor rate goes up as time

passes but then goes down after time t=27; as a result, losses at older ages are larger and then become

0.8

loss rate distribution

0.7

0.6

0.5

probability density

0.4

0.3

0.2

0.1

loss rate

Figure 7: Loss rate probability distribution. The expected loss rate of the portfolio is 9.9037% by

integrating this distribution. Critical points can be calculated under this distribution to divide the

portfolio into four tranches. Integrating within the range between critical points yields sustainable loss

40

The Design of Securitization for Longevity Risk

For the longevity bond, we assume total face value of this contract is $50,000,000,

and the SPV plans to divide the portfolio into four tranches to issue three 30-year

bonds of different-rating and holds the equity tranche. We can calculate the loss rate

by dividing the sum of loss amount under each simulation path by the face value. The

distribution, we can get the expected loss rate of the portfolio, which is 9.9037%. In

Table 2, the tranche weights of the portfolio and their rating and are exogenously

given according to hypothetical market demands. The expected loss rates of Aa1,

Aa3, and A3 tranches for a horizon 30 years are 0.2066%, 0.7876%, and 3.3440%

respectively, which are extended from Moody’s idealized expected loss rate table7.

7 As we can not find the Moody’s expected loss rate table for 30 years, we approximate it via linear

interpolation.

41

The Design of Securitization for Longevity Risk

Sustainable loss is the portion of total expected loss responsible by each tranche. It is

calculated by multiplying the total expected loss rate by each tranche weight. The

tranche weight of A3 and equity tranche is unknown, but we can solve them under

two constraints. First, the sum of total tranche weight is equal to 1. Second, the total

sustainable loss must equal to the expected loss rate under the portfolio. The

42

The Design of Securitization for Longevity Risk

Figure 8: Example of tranching longevity bond. Critical points for tranche A, B, and C are 84.7890%,

43

The Design of Securitization for Longevity Risk

Then, we can calculate critical points that divide the portfolio into four tranches by

considering together the required expected loss rate under each tranche and the loss

rate distribution. Critical points for A, B, and C tranche are 84.7890%, 49.4660%,

tranche A are responsible for portfolio loss under first 43.6770%, between 43.6770%

and 49.4660%, between 49.4660% and 84.7890%, and above 84.7890% respectively.

44

The Design of Securitization for Longevity Risk

Mortality has been improving around a long time but the importance of the issue has

only been fully emphasized recently. The trend of privatizing social security systems

is increasing the market demand for annuities and consequently increasing the

longevity risk that insurance companies bear. It is not only a question of risk

It helps companies reduce the cost of holding capital for regulation needs and also

45

The Design of Securitization for Longevity Risk

Our study shows how to project survivor rate by Feller process considering the rows

of US population mortality table rather than the diagonal of it. It can be more tailor-

made for insurance companies to project survivor rate based on their own experience

mortality tables. Our projection result and historical data both indicate that the force

of mortality is more volatile for people at older ages who account for a large portion

of portfolio loss. Besides, the accuracy of estimating force of mortality for older ages

does not perform as well as it does for younger ages. For lack of information, the

What we concern here is the longevity risk inherent in only one policy of a specific

46

The Design of Securitization for Longevity Risk

generation. Further studies may consider managing risk over a portfolio of annuity

and different annuity payment schemes. The credit tranche technique is first applied

rated under investment degree to be issued for higher ratings. Besides, it has a

feature of providing bonds of different yields and risks to meet the needs of various

investors. Tranches in our example have the same maturity of 30 years, but this

design can be extended to consider different maturities, for instance the most senior

tranche can be repaid earlier than junior tranches. Another assumption made here is

that we ignore credit risk of insurance companies which means the risk that

47

The Design of Securitization for Longevity Risk

companies fail to pay the reinsurance premium. If companies do not pay the

investors should require additional risk premium for bearing such risks. Further

Securitization of longevity risk can be of many forms. They can be survivor swaps,

encompass policies over different nations, types and generations. Besides insurance

companies, longevity bonds can also be issued by other institutes or governments with

coupons linked to realized survivor rate. This kind of longevity bonds are designed to

48

The Design of Securitization for Longevity Risk

risk is not only a good method for risk diversifying, but also provides low beta

investment assets to the capital market. To date, mortality or longevity derivatives are

in its very early stages, but with its attractive features we can expect that this

49

The Design of Securitization for Longevity Risk

References

50

The Design of Securitization for Longevity Risk

Mortality Risk.

D. Blake, Andrew Cairns, Kevin Dowd, Richard MacMinn (2006), Longevity Bonds:

Financial Engineering, Valuation, And Hedging, The Journal of Risk and Insurance,

Elisa Luciano, Elena Vigna (2005), Non Mean Reverting Affine Processes For

Issued Longevity Bonds, The Journal of Risk and Insurance, Vol. 73, No. 4, 611-

631.

Kevin Dowd (2003), Survivor Bonds: A Comment on Blake and Burrows, The

Journal of Risk and Insurance, June 2003, Vol. 70, No.2, 339-348.

51

The Design of Securitization for Longevity Risk

Kevin Dowd, David Blake, Andrew J.G. Cairns, Paul Dawson, Survivor Swaps

Longevity Risk : Pricing Survivor Bonds With Wang Transform in The Lee-Carter

Framework. The Journal of Risk and Insurance, Vol. 74, No.1, 87-113.

Richard MacMinn, Patrick Brockett, David Blake (2006), Longevity Risk And Capital

Markets, The Journal of Risk and Insurance, Vol. 73, No. 4, 551-557.

Ronald D. Lee; Lawrence R. Carter (1992), Modeling and Forecasting U.S. Mortality,

Journal of the American Statistical Association, Vol. 87, No. 419, 659-671.

Samuel H. Cox, Yijia Lin, Shaun Wang (2006), Multivariate Exponential Tilting And

Yijia Lin and Samuel H. Cox (2005), Mortality Securitization Modeling, Paper for

The 2005 World Risk and Insurance Economics Congress Inaugural Meeting.

52

The Design of Securitization for Longevity Risk

Yijia Lin and Samuel H. Cox (2005), Securitization of Mortality Risks in Life

Annuities, The Journal of Risk and Insurance, June 2005, Vol. 72, No.2,227-252.

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