The Return on a Pool of Senior Life Settlements

Stone, Charles A.; Zissu, Anne

doi:10.3905/jsf.2007.690269

Cited by 3 publications

(2 citation statements)

References 2 publications

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“…Based on the fact that the underlying risks are biometric in nature rather than originating from the broader capital markets, academics and practitioners have repeatedly emphasized that life settlements should offer attractive returns paired with a conservative risk profile and are uncorrelated with other asset classes (see, e.g., Stone and Zissu, 2007). In order to verify this, we conduct the first empirical analysis of the life settlement asset class 28 .…”

Section: Empirical Analysismentioning

confidence: 99%

“…Further publications include Zollars, Grossfeld, and Day (2003) and Mason and Singer (2008) who address the valuation of life settlements. Perera and Reeves (2006) and Stone and Zissu (2007) explore the sensitivity of life settlement returns to life expectancy estimates and possibilities of risk mitigation, respectively. Finally, Stone and Zissu (2006) and Ortiz, Stone, and Zissu (2008) consider the securitization of life settlements, a likely and natural future direction for the asset class when considering that the agencies A.M.…”

Section: Introductionmentioning

confidence: 99%

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Performance and Risks of Open‐End Life Settlement Funds

Braun¹,

Gatzert²,

Schmeiser³

2011

J of Risk & Insurance

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In this article, we comprehensively analyze open-end funds dedicated to investing in U.S. senior life settlements. We begin by explaining their business model and the roles of institutions involved in the transactions of such funds. Next, we conduct the first empirical analysis of life settlement fund return distributions as well as a performance measurement, including a comparison to other asset classes. Since the funds contained in our data set cover a large fraction of this relatively young segment of the capital markets, representative conclusions can be derived. Even though the empirical results suggest that life settlement funds offer attractive returns paired with low volatility and are virtually uncorrelated with other asset classes, we find latent risk factors such as liquidity, longevity, and valuation risks. Since these risks did generally not materialize in the past and are hence largely not reflected by the historical data, they cannot be captured by classical performance measures. Thus, caution is advised in order not to overestimate the performance of this asset class.

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Section: Empirical Analysismentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Performance and Risks of Open‐End Life Settlement Funds

Braun¹,

Gatzert²,

Schmeiser³

2011

J of Risk & Insurance

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Economics For The Elderly: New Business Products And Options

Kroleski

Ryan

Bottiglieri

2011

JBER

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In this paper, we examine three types of money management tools that could be used in estate and financial planning matters.  The first two, the life settlement, which enables the sale of life insurance policies in secondary markets, and the reverse mortgage, which is a loan taken out against the home equity accumulated and requires no repayment as long as the homeowner lives in the home, have been used as investment vehicles by insurance companies, banks, hedge funds, and other investment entities.  The third tool, the power of appointment, provides counsel on the proper format for preparing the deed to minimize the tax implications related to the transfer of assets from the parent to the heirs.

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Analyzing the Different Modules of Longevity Risk in Death Bonds

Parnes

2018

JAI

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The author presents an actuarial prognostic model that can disentangle and assess two complementary modules of longevity risk for death bonds. He tracks the probable paths over time of the transition rates for life settlement issuers across three states of nature: healthy, terminally ill, and dead. Through that, he is able to examine the influence of some varying assumptions on the likely course of the inclusive death intensity for an underlying pool of life settlements. The author is thus able to enhance transparency in this market by better predicting the overall yield curves of death bonds and their feasible trajectories. The proposed model can assist life settlement providers, brokers, investors, and credit raters in planning and preparing for possible evolutions in the overall death intensity among pools of life settlement issuances.

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The Return on a Pool of Senior Life Settlements

Cited by 3 publications

References 2 publications

Performance and Risks of Open‐End Life Settlement Funds

Performance and Risks of Open‐End Life Settlement Funds

Economics For The Elderly: New Business Products And Options

Analyzing the Different Modules of Longevity Risk in Death Bonds

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