Centro de Documentacion de Fundación MAPFRE - SM Bonds : a new product for managing longevity risk

MAP20190014069

SM Bonds : a new product for managing longevity risk / Piet de Jong, Shauna Ferris

Sumario: A new type of retirement bond is proposed called an SM bond. SM bonds are long dated government bonds divisible into two parts: a survivorship (S) part and a mortality (M) part. Each SM bond is associated with a particular age. SM bonds associated with a particular age are only purchasable by (originators) of that age. The SM bond is then splittable into an S and M component. The S part must be retained by the originator, who receives the face value of the bond if he/ she is alive at maturity. For originators who die prior to the maturity date, the maturity value of the SM bond is assigned to a mortality pool. The holder of the M part of the bond receives the annual bond coupon, and at maturity a pro rata share of the mortality pool. M bonds are tradable: holders can sell their M bonds to anyone, at any time. It is envisaged different age bonds are issued every year for ages say 30--64 each with say a 35-year term. The market will be regularly informed about the mortality experience, and the market price of the M bonds will vary over time to reflect that experience.

En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/03/2019 Volumen 86 Número 1 - marzo 2019 , p. 121-149

1. Productos financieros . 2. Bonos . 3. Jubilación . 4. Supervivencia . 5. Longevidad . I. Ferris, Shauna .