The Rising Challenge of Measuring and Managing Longevity Risk

In late 2002 signs of a new flu pandemic emerged in Asia. The first reported case of the often-fatal virus occurred in China, spreading as doctors and other health care workers traveled throughout Asia and beyond. By early 2003 severe acute respiratory syndrome, or SARS, had infected hundreds of people in 37 countries.

At about that time, Peter Nakada received a call for help. Several global reinsurance companies asked Nakada, a risk management expert who specializes in catastrophic events, to create a computer model that would help them evaluate the transmission and lethal potential of the new virus.

Nakada，谁领导了公司霍博肯，新泽西州，新泽西，办公室，建造和将软件提供给他的再保险客户的风险管理解决方案（RMS）的生活风险和资本市场，然后决定将其购物到人寿保险市场。那是纳克达，坐在桌子上，坐在最大的U.K.的终身保险公司之一的首席执行官中，了解了一个新的灾难。虽然流感软件非常有趣，但机构说，SARS“并不是让我在晚上保持清醒。”

什么扰乱了算命匙的睡眠并没有死亡，但生活：灾难性的长寿。许多人的风险比任何人想象的更长时间都会成为人寿保险的最令人恐惧的情景。

There is no doubt that over the past century life spans have increased — a trend that has accelerated in recent decades. But when it comes to planning for retirement income security, budgeting economic resources or even creating shareholder value in public companies, expanding life expectancy is wreaking havoc on balance sheets and heightening financial risk for governments and individuals alike. “It’s been recognized that mortality is improving,” says Zorast Wadia, principal and consulting actuary on the pension-risk management team in the New York office of actuarial consulting firm Milliman. “There’s no hiding that fact.”

After his encounter with the actuary, Nakada returned to RMS with a new mission: to build a risk model that would project life expectancy for a given population. After two years of research and engineering, RMS released a program with 10,000 hypothetical paths that could influence longevity. One key finding revealed by the new model: There is a one-in-100 chance that the average pensioner in the U.S., Canada and 13 other developed countries will live five years longer than currently projected by actuarial tables. Though the families of these European, Australian and North American retirees will likely welcome having them around, this unanticipated decline in mortality will cost defined benefit plans a cool $1 trillion.

That’s a crisis that makes SARS look small. And it’s captured in the phrase “longevity risk.”

管理顾问Peter Drucker着名曾写过，“被衡量的被管理的东西。”然而，尽管所有的注意力都要支付给各种风险风险的风格，令人攻击公共和私人pension funds- 信用风险，利率风险，市场风险，货币风险 - 持续的寿命风险尚未准确衡量，也没有得到良好的管理。

投资风险一直是主要的ry concern of pension sponsors who manage large portfolios. More recently, with the Federal Reserve’s quantitative easing program holding rates at historic lows, interest rate risk has become a greater concern. These low rates effectively increased the present value of future pension liabilities — known as the discount rate — thereby increasing the amount of assets needed to fully fund future pension obligations. Add to that the devastation to these portfolios wrought by the financial crisis, and it’s easy to see how once-ignored longevity risk became a big and growing problem.

用于测量寿命的传统死亡表的准确性一直是争议的主题，特别是随到伊利诺伊州斯·苏利诺伊州施谟（SOA），教育，研究和专业组织的即将发布的更新表;该表14年前最后发布。“这是一个投影未来负债的巨大任务，”议长议员议员议长议员议员审理退休，新泽西州的新泽西州的普通财务单位。当新的SOA桌子正式发布，今年晚些时候或2015年初，他们将表明，美国中位数比十年前更长2.2年。这意味着平均65岁的人将居住在22.7岁至87.7。

在精算条款中，新的SOA数据意味着养老基金提案国，个人在修理通货膨胀之前需要在资产中额外5到6％。“现在的人刚刚来抓住这个，”Kessler说。

In the U.S. alone, using only the current estimates of mortality, actuarial liabilities include $3.6 trillion in the 126 largest public pension funds (closer to $4 trillion when you fold in local and municipal funds), $3 trillion in private defined benefit pension funds and $24.3 trillion in unfunded obligations to current workers and retirees within the Social Security program. Factoring in universal social security systems in 170 other countries, Blackstone Group co-founder Peter Peterson used $30 trillion in total global retirement savings when he wrote灰色黎明：即将到来的年龄浪潮将如何改变美国-以及整个世界in 1999. That number has grown a lot since then.

国际货币基金组织（imf）辩称，预测人员一直低估了人们的寿命，不管他们使用了什么技术，随着时间的推移，以及不同人群的寿命。2000年的报告，超过60亿：预测世界的人口,说estimates have been too low in many countries, including Australia, Canada, Japan, New Zealand and the U.S., by an average of three years.

英国人在承认、量化和应对长寿风险方面走在了前列。英国养老金监管机构敦促受托人和保荐人采用最新的方法和技术来设定人口假设。英国精算师利用影响寿命的社会经济因素，如居住县、就业类型、住房、医疗保健、教育和饮食，来衡量预期寿命。美国并没有以复杂的方式利用这些因素。

“长寿风险已经不可见的U.S. market,” says Guy Coughlan, Pacific Global Advisors’ chief risk and analytics officer, based in the firm’s London office. “The pension mortality tables have been lagging behind the actual life expectancy.”

衡量长寿风险的部分问题一直是保险公司，pension funds和others in the financial markets have always depended solely on actuarial data that extrapolates from the past. It has now become clear that actuarial tables do not include the classic fund industry warning label: “Past results do not guarantee future performance.” RMS was the first to build a multifactor longevity risk model, which is now used by life insurers, reinsurers and those developing longevity-risk products in the capital markets. Among the many factors that go into the design of a longevity-risk model are estimates about the pace and duration of improvement in life expectancy. As with climate change, the science encompasses extremes. One side believes the human life span can and will continue to grow. The other concludes there is an end point to human longevity, an age beyond which it will not be possible to survive.

But even if you do not believe longevity will extend indefinitely — no one is suggesting it isn’t improving, at least in the short run — the need to mitigate the future retirement income needs of a global population is critical.

为了满足这些需求，越来越多的长寿风险解决方案和策略正在获得蒸汽，从人力资本解决方案到由华尔街，保险公司和风险缓解工具的其他供应商设计的特殊金融产品。在最新一轮的创造力中，新的金融产品正在包装出售endowment, foundation和主权财富投资者作为从长寿风险中获益的一种方式。问题是，这些努力将改善全球退休金保障吗？

直到19世纪中叶，人类可以期待少于40年。根据联合国和国际货币基金组织的数据，大约1900年预期寿命开始在全球范围内开始上升，达到1950年的48岁，达到60年，截至2010年截至2010年，靠近2010年。

预期率的巨大飙升主要是婴儿死亡率下降的结果，该婴儿死亡率的下降占加拿大和美国的提高预期的70％以上; 1950年至1970年;其他卫生保健福利旨在为65岁以下的人也有所贡献。感染死亡减少，而晚期慢性和退行性疾病的死亡率增加。

然后，从大约1970年开始，为65岁开始的人们的预期寿命显着改善。它今天继续，最古老的效果最大，85岁及以上。后期预期寿命的改善是长寿风险最近近期的关键因素。

Will rapid mortality gains continue indefinitely or taper off? On one side of the debate is Leonard Hayflick, a microbiologist and professor of anatomy at the University of California, San Francisco. He contends that science has not yet discovered the fundamental causes of aging. “The resolution of causes of death tells you zero about the cause of death,” says Hayflick, a founding member of the National Advisory Council of the National Institute on Aging, stressing that wiping out cancer or heart disease will not add many years to life expectancy. Patients cured of cancer in their 50s, 60s or 70s continue to age. “For the past 25 to 30 years, the cause of death in the U.S. and developed countries is essentially unknown for people over 80.” People don’t die from a disease; they die with it. To increase life expectancy, Hayflick concludes, “the only other thing you can do is tamper with the aging process.”

进入奥布里·德格雷,首席科学官Mountain View, California–based SENS Research Foundation, which is funding research in more than a dozen laboratories that is aimed at extending the aging process. A former computer scientist who was working in artificial intelligence when the longevity bug bit him, in about 2000, de Grey believes that “the most feasible way to advance aging is to repair damage. We’re going to see the arrival of therapies that will restore the health of people whose mortality risk is already climbing.” De Grey stresses that this is going to happen sooner than people think. “It’s going to turn the pension market upside down,” he warns. His message to individuals: “You must not be complacent and wait until these therapies arrive.”

虽然不是一个科学家，但斯蒂芬戈斯在他对死亡率的看法中更接近Hayflick。“We should not expect the rate of improvement in mortality in the future to be quite as fast as it’s been in the past 50 years,” says the chief actuary of the Social Security Administration, who has worked there since graduating from the University of Virginia with a master’s degree in mathematics. The federal agency has produced its own mortality tables since its founding in 1935; Goss deems these superior to those of the SOA. He points to the positive impact Medicare and Medicaid have had on life expectancy, along with antibiotics and rapid economic growth. But he believes the rate of improvement has slowed for the foreseeable future. “We’re pretty confident that we have the best guess or estimate,” he says.

虽然对长寿扩张的辩论可能是令人着迷的，但那些与这里交易的人现在都很担心。在2012年的2012年全球金融稳定报告中，IMF发现使用过时的死亡率表加剧了长寿风险。A study of the U.S. Department of Labor’s form 5500, which pension plan sponsors file annually, revealed that between 1995 and 2007 some plans continued to use SOA’s group annuity mortality table from 1983. Comparing life expectancies for 63-year-olds among mortality tables, the IMF found the differences between the most dated and the most current was 5.2 years. That’s a lot.

The data also shows that by controlling for liabilities resulting from differences in discount rates, benefit payments and the number of plan participants, U.S. pension funds’ longevity-risk liabilities would grow by about 3 percent for each additional year that retirees lived beyond 63, or 9 percent for the typical three-year longevity underestimation. De Grey disagrees with this conclusion. “Three years is picked out of the air, depending on how far in the future one is looking,” he says. “That kind of error is really bad for financial purposes,pension funds还有保险公司。与我们将来看到的相比，这算不了什么。”

So why has there been a 14-year gap between mortality updates at the SOA? “Mortality doesn’t change all that much quickly,” insists Cynthia MacDonald, a senior-experience-studies actuary at the SOA. There is also a MP-2014 scale, a table dealing with possible mortality improvements, developed to keep the new RP-2014, the basic mortality tables, up to speed. But, she adds, “we’re looking at our processes. People want more data more quickly.”

The U.N. and the IMF have projected the assets retirees will need on a global basis and their effect on gross domestic product. With a 60 percent replacement rate — the assets needed by retirees as a percentage of their past working income — the aggregate expenses of elders in developed countries will double between 2010 and 2050. This translates to between 5.3 and 11.1 percent of GDP in developed economies and between 2.3 and 5.9 percent in emerging countries.

如果每个人的寿命都比目前预期的要长三年——过去对寿命的平均低估——那么目前额外生活费用的折现值相当于2010年国内生产总值的25%至50%，在全球范围内相当于几万亿美元。换言之，如果三年以上的生命风险落到政府头上，美国和德国的债务与GDP之比将上升到150%，日本将上升到300%。

纽约资产经理BlackRock2013年9月发表了一份题为解决美国的退休需求：长寿挑战需要采取行动.” Noting that more than one third of U.S. retirees are getting at least 90 percent of their income from Social Security, the report underlined how increased longevity is affecting the federal safety net. When Social Security was launched in 1935, a 21-year-old had a 50 percent chance of living to age 65. Today that number is close to 80 years, with one in four 65-year-old Americans projected to live past 90.

还有一个问题是，工人们需要向这个系统支付工资，以支持不断增长的老年人口。1960年，五名工人为每个退休人员的退休制度作出了贡献。今天工人和退休人员的比例是3:1；到2033年将是2比1。到那时，如果还没有做出改变，福利将需要减少。

在21世纪的早期，养老基金经理专注于按时捐款，处理投资风险和匹配资产负债。然后是金融危机。被抽取的投资组合和低利率，即萎缩责任当前价值观 - 以及2006年养恤金保护法案的授权要求的额度筹资要求 - 左企业界定的福利计划赞助商，具有巨额资产负债不匹配。那是，当越来越长的退休人员人口的现实，有可能持有当前的精算假设，成为一个紧迫的问题。

Strategies like责任驱动投资（LDI）与债券投资组合与未来的养老金负债相匹配，以及现金余额养老金计划，将漫长的养老金计划转让给参与者通过一次性支付或退休年度转移到参与者的工作。随着计划重建其资产并能够销售股票来购买债券，LDI变得越来越受欢迎。据2013年2013年调查由塔Watson＆Co，3个宿舍表示，他们更多地关心他们所定义的福利计划的风险，而不是在未来两到三年内获得更高的回报。百分之七十一项达到了LDI计划，或者在2014年之前考虑到这样做。

但面对越来越大的压力负荷负债，这些工具对每个人都不足够。“事实证明，如果您对冲利率风险并没有对冲负债的寿命风险，那么您的对冲将在长远来看，”太平洋全球顾问的Coughlan说。

For some plan sponsors that meant making a bigger effort to mitigate liabilities. Large, one-time lump-sum payments, such as the one Ford Motor Co. offered to 90,000 employees in 2012, began to alter the landscape. Then came an even more breathtaking set of actions by pension sponsors.

在Verizon Communications和General Motors Co.策划的2012年大型收购交易中，参与者的寿命延长以及巨额养老金负债是核心。通用汽车将其养老金计划中的290亿美元资产转移给了保诚金融（Prudential Financial），保诚金融代表110承担了260亿美元的养老金义务，1000名退休人员。Verizon紧随其后，将75亿美元的养老金资产转让给了保诚。Verizon强调该计划将如何保护工人福利，但一些工人和养老金权利组织抗议资产转移，特别是因为这意味着这些计划将不再由养老金福利担保公司（pension Benefit Guaranty Corp.）投保。

摩根士丹利全球资本市场部门（Morgan Stanley's global capital markets unit）驻纽约的企业战略和养老金解决方案主管凯特林•朗（Caitlin Long）表示，尽管向保险公司转移风险的情况发生在规模较小的公司，但这两项记录可能永远不会被打破；她为两家公司提供咨询服务。”“我从没想过通用和威瑞森会打开闸门，”朗说这些交易是独一无二的。恒星必须对齐才能发生这种情况。”

迈克尔大厅，塔沃森的西雅图办公室的顾问，同意。“股票风险和利率风险促使漫长的寿命风险虽然资产配置养老金计划在历史上历史上，”霍尔说，为美国公司和公共养老基金的资产责任研究建立了量化模型。如果前两个风险缩小，因为当利率随着投资表现而兴起时，寿命风险将会出现更大，他注意到。“我们不是在一个长寿风险的地方是一个足够大的馅饼片，在那里你决定独自留下其他风险[股权和利率]，只是专注于摆脱长寿风险。”

但对于那些愿意将长寿风险年金化的公司来说，这些交易仍将继续。在另一项开创性的交易中，英国电信集团（BT Group，前英国电信）7月宣布，将创建自己的保险子公司来运营£其中160亿美元（269亿美元）£400亿养老金计划和养老金。英国电信从创造自己“俘虏”的财产/意外保险公司那里借用了这一战略，历时近三年才制定出来。英国电信随后向保诚金融（Prudential Financial）再保险了其长寿风险在英国电信创建自己的保险公司并寻求再保险之前，还不清楚一个非常庞大的养老基金是否会在资产负债表上保留大量负债这是一个分水岭：长寿风险可以管理。”

Prudential has now taken on nearly $30 billion in U.K. pension liabilities from some 15 other pension funds. How much more pension risk can the insurer handle?

From Prudential’s perspective, buying longevity risk balances life insurance risks. “It’s a wildly attractive financial transaction for a life insurer with a big life book. It lowers their mortality risk,” says RMS’s Nakada, the editor forInstitutional Investor Journals' 年度的机构投资者养老与长寿风险转移研究亚博赞助欧冠.

尽管保险公司对这项新业务充满热情，但也存在一些制约因素。据估计，截至2013年底，全球保险业的资产规模为3.66万亿美元，再保险和保险相关证券公司还持有5400亿美元的额外资本。

更多流动性来自哪里？SociétéGénérale纽约办事处保险公司负责人杰夫Mulholland说：“这变得痛苦地显而易见的是，额外的额外风险资本必须致力于充分管理长寿风险。”他指向全球资本市场，2012年底由97.6万亿美元的机构投资者管理的合并资产，大约与全球债券市场的97.5万亿美元相同。亚博赞助欧冠长寿风险非常资本密集;监管机构要求保险公司以99％的置信水平覆盖他们的长寿负债的成本。

Mulholland说：“资本市场提供了一个庞大的资金池，用来分散这种风险，而投资者受益于长寿与传统市场之间缺乏相关性，这为投资者的投资组合开辟了有效的前沿。”。

The timing may be right for capital markets to offset longevity risk. A confluence of events — the search by endowment, foundation and sovereign wealth funds for variations on now-traditional alternative-asset classes, and the global search for longevity-risk mitigation — offers a potentially vast market for new products. Established insurance-linked securities like灾难证券are paving the way for acceptance of longevity-risk swaps and bonds.

The features of each type of pension-risk transfer contract differ, says Mulholland, who ran sales and trading for Goldman Sachs Group’s insurance-linked securities business in the mid-1990s, when the firm developed the catastrophe bond. Who manages the dedicated pool of assets? Who bears investment risks? Who administers the payments? Pension-risk transfers are designed to cover any increases in liabilities on a dollar-for-dollar basis above baseline assumptions.

Mulholland列出了他称之为寿命的价值链 - 风险转移。在他的情景下，养老基金将风险转移到一个像提供保险和再保险的谨慎一样的公司。保险公司，因为它的部分希望尽量减少其暴露于尾部长寿成果，并减少它所需的资本。在一种类型的长寿对冲中，保险公司购买了一个人口索引的选择。然后Socgen或Deutsche Bank将后端与资本市场的后端融为一体。这些保险联系证券的目标买家是捐赠，基金会和主权财富基金，寻求具有相关福利的新投资，如其他类型的保险联系证券。

尽管目前仅有三种指数化长寿期权对冲，但Mulholland表示，还有几种正在酝酿之中。2012年国际货币基金组织的报告支持了他的设想，敦促各国政府通过提供更详细的数据，加强监管，促进有效的长寿风险转移市场的发展规定和supervision, and educating market participants.

Still, Towers Watson’s Hall does not foresee big swap deals migrating to the U.S. any time soon. “The unfunded liability as a percentage of the market cap for 70 to 80 percent of plan sponsors is less than 5 percent,” he says. “To enter into an exotic longevity swap to fix longevity risk is a pretty sophisticated transaction to manage a rounding error.”

“定义福利养老金是一个很大的好处，”太平洋全球的咳嗽宣布。But, speaking in his role as an adviser to mostly U.S. pension sponsors seeking to de-risk their plans, he says, “History and the way plans have been managed, combined with the weight of opinions on perceived cost and risks, have had such a negative impact that they are now seen as legacy instruments that will be packaged up and sold.”

The slow decline of employer-sponsored retirement benefits, combined with increases in life expectancy, is cooking up a lethal stew. True, companies now have the means to transfer some risks associated with defined benefit pensions. But where does that leave millions of American workers who, if they retire at 65, may well need retirement income for 30 years or more?

为此，存在越来越多的解决方案，在2012年的国际货币基金组织的2012年4月的报告中总结了：“首先，政府应承认他们通过员工的界定福利计划以及通过养老保障计划所面临的大量寿命风险。其次，应在个人，养老金计划提案国和政府之间适当地共享风险。重要的改革措施将允许退休年龄随预期的长寿而增加。政府可以授权这一点，但也可以鼓励个人自愿推迟退休金。更好地教育长寿及其财务影响将有助于使后果更加清晰。“

The report cautioned that allowing for flexibility for pension providers is important. When it is not feasible to increase contributions or retirement ages, benefits may have to be trimmed. The report endorsed the use of risk transfer to the capital markets.

在政府帮助减轻国家长寿风险方面，全球的榜样包括丹麦等国，the Netherlands和Sweden，在2001年改革其系统。该英国。现在正在努力自动注册其所有工作公民，澳大利亚人对其退休金资金的贡献率增加了贡献。

In the U.S. progress toward retirement income security has been slower. But if necessity is truly the mother of invention, Tim Driver is doing his part to get there. For the past eight years, as CEO of Waltham, Massachusetts–based Retirementjobs.com, Driver has annually served 2 million unique visitors older than 50 — half of them registered users in search of employment. “We’re a financial site,” Driver says. “I view retirement jobs as the fourth leg of the retirement stool, with Social Security, pensions and personal savings/401(k)s. It’s another form of annuity.” His newest site, Mature Caregivers — people over 50 who provide aid to seniors — is “exploding,” he says.

大需求：访问所谓的退休工作。由州街全球顾问（SSGA）早些时候在今年早些时候进行的980名裁定缴费计划参与者的调查发现，一半预计将在退休工作，跨年龄，性别，收入和教育的百分比一致。

Some 10,000 of a total 78 million baby boomers turn 65 every day. “We’re retiring the model of retirement in which you reach a set age, drop out and become a couch potato,” says Netherlands-based Dick Hokenson, a global demographer at research and brokerage firm ISI Group.

Anna Rappaport, chair of the SOA’s postretirement needs and risks committee and principal of an eponymous consulting firm in Chicago, supports the idea of a longer working life. But, she cautions, “in the U.S. we’ve made a lot of jobs more demanding. It’s not as simple as saying, ‘Everybody work longer.’” Companies need to make adjustments to ensure success. Rappaport points to pension funds that have adjusted to changing economic conditions, like those in New Brunswick, Canada, and the Netherlands, and the Wisconsin Retirement System.

但她警告说：“通过去定期捐款计划，我们躲到讨论。来自社会观点这是一个问题。人们不想谈论这个。他们害怕的原因之一。“向公司的留言：这些是您的客户。“如果他们没有工作和金钱，他们就不会买你的产品。”

Like Rappaport, who spent many years at Mercer, Steve Vernon had his own career as an investment consultant, with Watson Wyatt Worldwide (now Towers Watson) before joining the Stanford Center on Longevity, a think tank studying the social consequences of longer life spans. Vernon is exploring viable ways to pool longevity risk for the average person. He urges employers that “have bailed out on employees” to do the due diligence required to offer retirement income products in their 401(k) plans.

In the near term Vernon envisions employees rolling over plan assets to individual retirement accounts at retirement. Part would go into very low-cost annuities, and part would be invested and drawn down to comply with U.S. Internal Revenue Service minimum distribution requirements. Down the road, Vernon would like to explore the use of defined ambition pensions, a hybrid pension in which employees and employers share risk, and tontines, a method of grouping people to share longevity risk with no risk to employers. “There’s nothing to prevent Vanguard or Fidelity from offering these,” he says. “Particularly for multiemployer plans, they’re a natural.”

在确定的贡献计划竞技场中，在退休收入负担的大部分已经转移的情况下，有闪烁的希望能够调整这些节省车辆，以提供近似真正养老金的东西。最接近实现这一目标的公司是康涅狄格州哈特福德的联合技术公司。在2003年将传统养老金转化为现金余额计划后，UTC于2010年关闭该计划。由首席投资官Robin Diamonte领导，UTC在公司的401（k）计划中嵌入了被保险的提款年金福利。

AllianeBernstein设计了投资期权，由三家保险公司保证为额外保护，并与员工自动注册的目标日期基金合作。“你必须在这背后拥有高级领导力，”德尼特说。

与此同时，在SSGA，弗雷德里克公平计划的定义贡献计划负责人正试图关闭金融危机创造的退休缺口。2007年，有69.5％的工资替代，退休人员为挽救其薪水的11％并投资于多元化的投资组合。如今，债券收益率较低，长期增长期望，降至45.5％。Axsater说，这个差距可以桥梁，三管齐级的公式：两年后退休，收入更换5％;旨在赚取0.5％的年度返回率，较高6％;每年节省3％，额外增加12％。这个公式更有可能为年轻投资者工作。较旧的投资者可能会退休后，但改善将不那么戏剧性。

“我认为这是一个消极的故事，”Axsater说。“那里有很多机会。我们可以做到它的工作。“•

Follow Frances Denmark on Twitter at@Francesdenmark..