摘要：We consider the problem of optimally designing longevity risk transfers
under asymmetric information. We focus on holders of longevity exposures that have
superior knowledge of the underlying demographic risks, but are willing to take them
off their balance sheets because of capital requirements. In equilibrium, they transfer
longevity risk to uninformed agents at a cost, where the cost is represented by reten-
tion of part of the exposure and/or by a risk premium. We use a signalling model
to quantify the effects of asymmetric information and emphasize how they compound
with parameter uncertainty. We show how the cost of private information can be
minimized by suitably tranching securitized cashflows, or, equivalently, by securitizing
the exposure in exchange for an option on mortality rates. We also investigate the
benefits of pooling several longevity exposures and the impact on tranching levels.
关键词：longevity risk, asymmetric information, security design, pooling, tranch-
ing.
