Pension liabilities are exposed to two main risk drivers: longevity and interest rates. While much focus of pension funds has been on managing interest rate risk on their balance sheet in recent years the market for longevity risk transfer has matured and deepened considerably. In this presentation we analyze the impact hedging longevity risk can have on a pension fund’s funding ratio volatility and ALM strategy. Our main conclusion is that executing longevity hedges elevates the Efficient Frontier across all reasonable risk budgets. Therefore, implementing a longevity hedging strategy can improve the fund’s Sharpe Ratio and ALM outlook considerably.

Presentation – David Schrager – Longitude Solutions – Longevity Risk for Pension funds – 20191128

David Schrager has extensive experience in balance sheet management and structuring (longevity) hedge solutions for insurance and pension products.  David has held positions in both insurance and banking at ING, ABN Amro and NN Group and has worked in culturally diverse teams for most of his career.  He was responsible for setting up (longevity) hedge programs, pricing and structuring of pension buy-outs and has been involved in many strategic de-risking projects including M&A. David holds a Ph. D. in quantitative economics from the University of Amsterdam.