最近、longevity risk ネタが多くなっていますが、ファイナンシャルタイムズで毎日のように取り上げられているので、書かないわけにはいきません。
Difficulties of giving life to longevity risk market
By Tony Jackson
Published: November 28 2006 02:00 | Last updated: November 28 2006 02:00
Longevity risk is one of the burning topics in the world of investment. Pension funds would dearly love to protect themselves against it. Investment banks have laboured for years to devise such protection. So far, nothingmuch has emerged.
Yet it is easy enough to envisage how such a market might work. All it takes is enough liquidity to form market prices, so that investors can buy and sell in the usual way. The question is how to kick-startthe whole process.
To illustrate the difficulty, let us look at how some existing classes of derivatives work, and how longevity might fit in. In each case, the crucial question is how the provider of protection hedges the risk.
Class I: An investment bank offers protection on a security or an index, such as the FTSE 100. It then hedges its position through the cash market. In longevity, there is no cash market.
Class II: The bank offers protection against moves in interest rates, and hedges in the interest rate futures market. There is no longevity futures market. In theory, one could be formed – but only once the derivatives market was running.
Class III: The bank offers protection against inflation. To hedge this, it gets access to an inflation-proofed cash flow, for instance from a utility. There are no longevity-proofed cash flows.
Class IV: The bank finds natural buyers and sellers of the same class of risk and brings them together, as with weather derivatives. A Florida orange grower is nervous of frost, while a neighbouring electricity supplier is nervous of a warm spell. So one pays the other if the temperature is above or below a specified level. Thetwo risks cancel out.
On the face of it, Class IV sounds promising. Pension funds and life insurers face longevity risk of opposite kinds. In bald terms, life insurers want you to die old, while pension funds want you to die young.
Therefore, some argue, they are a natural match. Others are less sure. The steep falls in mortality rates in recent decades have been primarily among the old. Younger people still drive cars too fast, or face novel threats such as Aids. These are risks which concern the life insurers but do not affect pension funds.
Conversely, the pensionfunds have to worry about people living further into their eighties, but many of them will have collected on their life insurance already. So the two classes of risk are not so well matched as they look. Nevertheless, the thought is worth holding on to. The question, remember, is not how to match buyers and sellers ina developed market. It is howto develop the market in the first place.
Meanwhile, one interesting new arrival is the longevity swap, apparently on offer from some investment banks. This works in a way analogous to interest rate swaps, wherebya fixed rate is swapped for a floating one.
The fixed rate here is an agreed projection – say, over 25 years – of the annual mortality rate. The floating rate is the actual outcome. Both parties agree that – for instance – of 100,000 65-year olds, 2,000 should die in year one and so forth. If the figure turns out higher, one party has to put up collateral, and vice versa.
The mortality projections used are the result of complex actuarial calculations – in other words, a model. But all such markets start that way. As they develop, the model becomes redundant.
Thus, the weather derivatives market in the US, being only a decade old, still relies partly on actuarial models. But in interest rate futures, all that mattersis the market price, which embodies all the models in use and strikes the balance between them.
If such a developed market existed for longevity, all kinds of advantages might follow. The various traded instruments could be packaged together, as with credit derivatives, then sliced and diced variously.
The package could be divided up by age groups, to suit individual pension funds’ exposure. Or by geography, so that a fund with members in an area with low life expectancy, such as Glasgow, could do deals with high expectancy areas such as the south coast of England.
That brings us back to our start. Establishing this market will be formidably difficult.But given the brain-power and potential profits, and the scale and variety of pent-up demand, it could happen sooner thanwe think.
Copyright The Financial Times Limited 2006
longevity risk をどうやってヘッジするべきかということについて、既存のデリバティブ市場との対比という観点から書かれています。そして、やはり反対の需要をマッチングさせるのがよかろう、と。反対の需要というのは言うまでもなく、生命保険会社と年金です。そして、債券の形にしなくても、longevity swap（スワップです）の形でけっこういけるのではないか、と（ぼくの勝手な解釈がちょっと入っているかもしれません）。
JP Morgan eyes new pension markets
By David Wighton in New York
Published: November 28 2006 22:09 | Last updated: November 28 2006 22:09
JPMorgan Chase is working on plans to create a new securities market that will give pension schemes an easy way to lay off the risk that members will live longer than expected.
Other banks, including Deutsche Bank and BNP Paribas, are also rushing to develop new securities and derivatives to hedge so-called longevity risk, creating a new asset class that some experts believe could one day outstrip the booming credit derivatives market.
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「この longevity risk の市場は、現在のクレジットデリバティブの市場規模（約$26,000bn = 約3,000兆円！！！）をも将来的には上回るだろう」というコメントが含まれていました。これがまことであるならば大変な規模です。投資銀行各社はしのぎを削って競い合うことは間違いないでしょう、、、
ちなみに、先日書いた「死亡率債（Mortality Bonds）、ついに発行」について、大学時代の友人からつっこまれました。Swiss Reがすでに発行しているではないか、と。ということで、おそらく「保険会社として初めて」ってことだったのだと思います（推測ですが、、、）。