professor david blake director pensions institute cass business school [email protected]
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Longevity 5: Fifth International Longevity Risk and Capital Market Solutions Conference (www.longevity-risk.org). Professor David Blake Director Pensions Institute Cass Business School [email protected] September 2009. Previous conferences. Longevity 1: - PowerPoint PPT PresentationTRANSCRIPT
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Longevity 5: Fifth International Longevity Risk and Capital Market
Solutions Conference(www.longevity-risk.org)
Professor David BlakeDirector
Pensions InstituteCass Business School
September 2009
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Previous conferences
Longevity 1: Cass Business School, London 2005
Longevity 2: Chicago 2006
Longevity 3: Taipei 2007
Longevity 4: Amsterdam 2008
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26 Core global risks, but longevity risk not included!
Source: World Economic Forum Global Risks 2008
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Longevity risk is a real, underestimated and slow-burning risk
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Cost of longevity risk
Global pension liabilities = $23trn
Roger Lowenstein* in While America Aged (2008) discusses “how pension debts ruined General Motors, stopped the New York subways, bankrupted San Diego, and loom as the next financial crisis”
* Author of When Genius Failed
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Longevity risk needs to be quantified and managed
Tools are now being developed to do both: In insurance and reinsurance companies In the capital markets
Academics are also interested in analyzing longevity risk and capital market solutions
But growth has been slowed by the Credit Crunch and the political dimension has been missing
Dealing with longevity risk
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Six longevity swaps in 2008-09Date Hedger Type Size
(£m)Term (yrs)
Format Intermediary
Jan 2008 Lucida Ins N/A 10 Index-based hedge; exposure placed with capital market investors
JPMorgan
July 2008 Canada Life
Ins 500 40 Exposure placed with capital market investors
JPMorgan
Feb 2009 Abbey Life Ins 1500 Run-off
Reinsurance contract Deutsche Bank
Mar 2009 Aviva Ins 475 10 Exposure placed with capital market investors & Partner RE
RBS
June 2009 Babcock PF 500-750 50 Reinsurance contract with Pac Life Re
Credit Suisse
July 2009 RSA Ins 1900 Run-off
Reinsurance contract with Rothesay Life; combined with inflation & interest rate swaps
Goldman Sachs
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Continuing with our strategy of bringing together practitioners and academics from a variety of relevant disciplines
Extending our community to include policymakers and their advisers from key countries with extensive longevity risk exposure in both the public and private sectors
These are the aims of Longevity 5 Longevity 6 will be at UNSW in September 2010
What needs to happen
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