Longevity is typically segregated into two types, macro longevity and micro longevity.
Macro longevity uses sample sizes taken from the general population with a minimum of 10,000 lives. The longevity estimates used for the transactions are based directly off the mortality tables rather than being medically underwritten.
In recent years, products have undergone a re-structuring to transfer macro longevity risk from pension funds and insurance companies to the capital market. However, with typical transaction sizes in the tens of millions, this type of risk has been inaccessible to the non-institutional investor until the recent introduction of funds investing in macro longevity.
Micro longevity targets a smaller, more specific subset of the population with sample sizes ranging from 200 - 1,000 lives, which are medically underwritten on an individual basis. It is a much more accessible asset class and has seen interest from both retail and institutional investors. Reverse mortgages, life tenancies or "rente viagère" have existed for a long time while new entrants such as life settlements have seen increasing interest from investment banks which are becoming active in the market.
Summary of the primary differences between macro and micro longevity risk
