Mercer has contributed a research paper on insurance linked strategies, life settlements. This can be accessed in its complete form by contacting the research company directly.
Abstract: “Longevity-linked investments are increasingly becoming a larger part of the larger Insurance-Linked Strategies (ILS) asset class, an asset class where, until recently, the majority of the focus has been on investments linked to catastrophe reinsurance. However, increased volumes in the longevity-linked strategies, such as life settlements and longevity hedging instruments, signals a wider acceptance for these types of risks by capital markets investors. We believe the Life Settlements asset class has potential to offer an attractive return stream uncorrelated to capital markets. Investors can capture an underlying risk premia, longevity risk, which is effectively an arbitrage against the insurance company. Understanding the intricacies of managing exposure to longevity risk is critical to a successful investment in this asset class. This asset class is potentially worth consideration only by investors who have an appreciation of its risks and complexity”
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[1] Mercer, 2010,Insurance Linked Strategies: Life Settlements, pp1
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