AXA and Morgan Stanley Executives join Life and Longevity Markets Association Board

The Life & Longevity Markets Association (LLMA) has today announced that AXA’s Mohamed Baccouche and Morgan Stanley’s Mark Teeger have joined the LLMA’s Board of Directors. Axa and Morgan Stanley are two of the founding members of the LLMA, other current members include AVIVA, Deutsche Bank, J.P. Morgan, Prudential PLC and Swiss Re.

Mohamed Baccouche is Life Chief Risk Officer at AXA Group. Morgan Stanley’s Mark Teeger is a Managing Director, and Global Head of ALM.   Pretty Sagoo, LLMA Director said:
“I’m delighted to welcome Mohammed and Mark to the LLMA’s Board.  They bring fresh impetus to the association and our stated aim to achieve greater understanding of and standards in, longevity trading.

“The LLMA has made good progress towards our stated aims over the last five years.  We hope that with the help of new members, we will sustain this progress and set the benchmark standards for longevity trading.”

The LLMA was formed in 2010 to promote the development of a liquid trading market in longevity and mortality-related risk, of the type that exists for Insurance Linked Securities and other large trend risks like interest rates and inflation.

About the LLMA

The Life and Longevity Markets Association (LLMA) is a non-profit organisation founded and funded by members. It aims to promote the development of a liquid traded market in longevity and mortality-related risk.  The association supports the development of consistent standards, methodologies and benchmarks to help build a liquid trading market, of the type that exists for Insurance Linked Securities (ILS), and other large trend risks like interest rate and inflation.

LLMA and Institute and Faculty of Actuaries seeks partners for research programme into longevity basis risk

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.

Dan Ryan spokesperson for the LLMA comments:

“The LLMA believes that this project will help to develop market clarity and support the LLMA’s brief to grow this marketplace. It is a high profile opportunity for the successful party to provide a practical solution to a real industry problem and in doing so greatly enhance opportunities for longevity risk transfer to the capital markets.”

Sarah Mathieson, Policy Manager at The Institute and Faculty of Actuaries concludes:

“In the context of a longevity hedge, longevity basis risk is the potential mismatch between the behaviour of the longevity hedge and the portfolio of pensioners or annuitants being hedged, when the hedge has been based on a generic mortality index rather than the actual pool of lives in the pension scheme or annuity book. This project aims to develop a methodology to quantify the risk, which we believe will benefit a range of parties involved in pensions, from scheme sponsors to scheme members, as well as writers of annuity business.”

Responses to the tender should be received by 15th April 2013 with the research work to be completed within 12-18m. 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.

Media contact

The Institute and Faculty of Actuaries
Karen Wagg
Karen.Wagg@actuaries.org.uk
+44 (0)77255 58551

About the LLMA

The Life and Longevity Markets Association (‘LLMA’) is a non-profit organisation founded and funded by members, these being AVIVA, AXA, Deutsche Bank, J.P. Morgan, Legal & General, Morgan Stanley, Munich Re, Pension Corporation, Prudential PLC, RBS and Swiss Re. It aims to promote the development of a liquid traded market in longevity and mortality-related risk. The association supports the development of consistent standards, methodologies and benchmarks to help build a liquid trading market, of the type that exists for Insurance Linked Securities (ILS), and other large trend risks like interest rate and inflation.

About the Institute and Faculty of Actuaries

The Institute and Faculty of Actuaries represents its members interests and regulates those members for the benefit of the outside world. The Institute and Faculty of Actuaries is the chartered professional body for actuaries whose growing membership is based in the UK (60%) and internationally (40%).

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.