Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund?

Edouard Debonneuil (1) , Anne Eyraud-Loisel (1) , Frédéric Planchet (1)

1 SAF - Laboratoire de Sciences Actuarielle et Financière

Pension funds that handle retirement risk need to invest assets in a diversified manner, on long durations and if possible while facing interest rate and longevity risk. In the recent years, a new class of investment called a longevity megafund was described, that invests in clinical trials for solutions against age-related diseases. Using simple models, we here study the financial interest for pension funds of investing in a longevity megafund.

Domaines: Gestion des risques [q-fin.RM]

Edouard Debonneuil, Anne Eyraud-Loisel, Frédéric Planchet. Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund?. Risks, 2018, 6 (3), pp.67. ⟨hal-01571937v3⟩