DISCUSSION PAPER PI-1004
LONGEVITY INDICES AND PENSION FUND RISK
Pension fund longevity risk is becoming increasingly important. Longevity
indices would allow the creation of liquid derivatives that could be used to
hedge this risk. However, there are a number of criteria that such indices
would need to fulfil to provide an optimal solution, as well as a number
of forms that the derivatives could take. These features are discussed,
together with the characteristics of some existing longevity indices.