1 Longevity 5: Fifth International Longevity Risk and Capital Market Solutions Conference () Professor David Blake Director Pensions.

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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

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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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