CONDITIONS OF INTEREST OF A LONGEVITY MEGAFUND FOR PENSION FUNDS

Edouard Debonneuil (1) , Stéphane 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, Stéphane Loisel, Frédéric Planchet. CONDITIONS OF INTEREST OF A LONGEVITY MEGAFUND FOR PENSION FUNDS. 2017. ⟨hal-01571937v1⟩