Call for research: Project to develop a method of assessing basis risk for longevity transactions

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The Life & Longevity Markets Association ("LLMA") and Institute and Faculty of Actuaries today calls for proposals for a research project to develop an industry benchmark for understanding Longevity Basis Risk.

The project is to develop a methodology to quantify the basis risk that arises from using population level mortality indices for managing the longevity risk in pension benefits or annuitant liabilities.

We expect this work to be beneficial to a wide variety of organisations and individuals, including pension schemes and their members as well as insurance companies which write annuity business. These and other institutions which are exposed to, or would like to invest in, longevity risk will gain from a new methodology for quantifying risk related to longevity.

The project will offer a high-profile opportunity to the successful party to apply original research to basis risk and in doing so help enable longevity risk transfer to the capital markets.

Responses to the tender should be received by 15th  April 2013 with the research work to be completed within 12-18 months. The successful party will be accountable to the Longevity Basis Risk Working Group, who will closely monitor the progress of the research to ensure that it continues to lead to the desired outcome.