Call for Proposals for a Research Project regarding Longevity Basis Risk Quantification

The attached document is an invitation to tender for a research project for the Longevity Basis Risk Working Group (LBRWG).

Download Invitation to Tender (PDF 776KB)

The aim of the project is:

  • to develop a readily-applicable methodology for quantifying the basis risk arising from the use of population-based mortality indices for managing the longevity risk inherent in specific blocks of pension benefits or annuitant liabilities.

The methodology will be statistically rigorous and practical: it will use data likely to be available in respect of the population and the block of business being hedged.
The LBRWG has received a commitment to fund the project from the Institute and Faculty of Actuaries (IFoA) and the Life and Longevity Markets Association (LLMA), subject to receipt of a satisfactory proposal and to achievement of interim project targets.

We believe this project will offer the successful party an opportunity to use statistical knowledge and/or original research to produce a solution to a real industry problem. If the project were successful and facilitated the transfer of longevity risk between market participants, the work would be ground-breaking and very high-profile. We would expect that the methodology would use the indices published by the LLMA but be applicable in any territory world-wide subject to the availability of appropriate data.

We expect the project to last between 12-18m from the time the project is awarded; further details of the timeline are set down below. However, credible proposals that could be completed in a shorter time frame would be considered.

We are seeking proposals from actuarial consultancies and academic institutions. Responses to the tender should be received by Monday 15th April 2013.