• The steady increase in life expectancy in Europe and North America since the 1960s represents a high risk for pension funds and insurers but also an opportunity to develop a market for longevity. In aggregate, the market is short longevity. To create liquidity and attract investors, annuity transfers need to move from an insurance format to a capital markets format (securitization). There is a need to attract investors by paying a risk premium against unexpected falls in mortality (mortality forwards falling below expected future mortality rates). Longevity seems to meet the basic requirements of a successful market innovation. From the point of view of capital markets, there are however some important questions to consider before developing a market for longevity risk: understanding the underlying risk and in particular its dynamics (stochastic mortality models), understanding the needs and motivations of the agents who need hedging (pension funds, life insurers, ...), creating/developing an index that minimizes basis risk, is transparent and reliable, designing products that are efficient hedging instruments but also attractive for investors.

• Pauline Barrieu, London School of Economics.
• Nicole El Karoui, CMAP, Ecole Polytechnique.
• Stéphane Loisel, ISFA, Université Lyon 1.
• Claudia Ravanelli, ISB, University of Zürich.
• Research associates: Harry Bensusan, Yahia Salhi.

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• March 2008: The chair has just been launched!
• Next conference: A research workshop on longevity risk will be organised in Paris in 2009.

• A scientific committee supervises the advances of the chair.
• The members of the scientific committee are both academics and practitioners.