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Products March 14, 2007
JP Morgan Releases Longevity Risk Index
JPMorgan has released its LifeMetrics Index, part of a LifeMetrics platform aimed at measuring and managing both longevity and mortality exposure.
Reported by Fred Schneyer
The Index is designed to benchmark and trade longevity risk and is calculated by an independent calculation agent. It will be governed by an international advisory committee including experts from different organizations.
The index incorporates historical and current statistics on mortality rates and life expectancy across genders, ages and nationalities. The index is available for the U.S., England and Wales.
According to a press announcement, the new index is designed to create securities, derivatives and other structured products. LifeMetrics will enable pension plans to calibrate and hedge the risk associated with the longevity of their beneficiaries, the bank said.
The LifeMetrics platform, developed with advisers Watson Wyatt in the U.K. and U.S. and the Pensions Institute at Cass Business School, will also provide clients with a framework to manage longevity risk that includes analytics and software to model current exposure and forecast future exposure, the announcement said.
More information is available at www.jpmorgan.com/lifemetrics.