<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>2448-718X</journal-id>
<journal-title><![CDATA[El trimestre económico]]></journal-title>
<abbrev-journal-title><![CDATA[El trimestre econ]]></abbrev-journal-title>
<issn>2448-718X</issn>
<publisher>
<publisher-name><![CDATA[Fondo de Cultura Económica]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S2448-718X2017000300681</article-id>
<article-id pub-id-type="doi">10.20430/ete.v84i335.206</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[El manejo del riesgo de longevidad en los sistemas públicos de pensiones. Una propuesta de uso de swaps de longevidad para México]]></article-title>
<article-title xml:lang="en"><![CDATA[Managing Longevity Risk in Public Pension Systems. A Proposal to Use Longevity swaps for Mexico]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Rodríguez-Reyes]]></surname>
<given-names><![CDATA[Luis Raúl]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Panamericana Escuela de Ciencias Económicas y Empresariales ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>09</month>
<year>2017</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>09</month>
<year>2017</year>
</pub-date>
<volume>84</volume>
<numero>335</numero>
<fpage>681</fpage>
<lpage>706</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S2448-718X2017000300681&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S2448-718X2017000300681&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S2448-718X2017000300681&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen  Antecedentes:  El riesgo de longevidad, definido como la posibilidad de que las personas sobrevivan más allá de lo esperado, tiene el potencial de dañar a los sistemas de pensiones en general, ya que se traduce en la subestimación de reservas para cumplir obligaciones de pago futuro. Sin embargo, este fenómeno tiene una connotación positiva para los proveedores de seguros de vida, ya que al realizarse el riesgo de longevidad, habría un diferimiento en sus obligaciones financieras.  Metodología:  En este artículo se propone un swap de longevidad como mecanismo para reducir la exposición al riesgo de longevidad, usando el hedge natural de las posiciones respecto a la longevidad de las dos instituciones mencionadas. Para su aplicación a las obligaciones pensionarias del gobierno federal mexicano, se modificó el método general de estructuración y valuación de este tipo de instrumentos con la inclusión de un índice de longevidad proporcional y de una variable de monetización.  Resultados:  Estas modificaciones permiten una utilización más amplia del método referido, que puede ser aplicado en sistemas con un número de pensionados creciente, como el derivado de la reforma de 1997 en México. Adicionalmente, se propone, analiza y simula un swap de longevidad de 50 años entre el gobierno federal y un consorcio de aseguradoras y reaseguradoras de vida, cuyo costo ex post para el gobierno federal se estima en 1.6 miles de millones de pesos de 2017.  Conclusiones:  El swap de longevidad propuesto le da una cobertura notable a los flujos contingentes del gobierno federal mexicano, no obstante, se tiene que considerar el costo, en el cual existe un recargo proveniente del potencial comportamiento de la longevidad.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract  Background:  Longevity risk, defined as the possibility of people outliving its expected life span, hurts pension systems because it implies a potential underestimation of reserves kept in order to fulfill future liabilities. Nevertheless, this has a positive connotation for life insurers, given that these companies may face a deferral in their liabilities when people live longer than expected.  Methods:  In this research paper, a longevity swap is proposed as an alternative to manage longevity risk, using the natural hedge arising from opposite positions regarding the same risk. In order to apply it to the management of the longevity risk faced by Mexico&#8217;s federal government, some changes were made in the general framework used to construct and value this kind of derivatives, adding a proportional longevity index and a monetization variable.  Results:  These modifications give the referred framework a wider scope; e.g., it can be applied to systems with growing number of pensioners, as the one created by the Mexican reform of 1997. Furthermore, a 50 year longevity swap between the Mexican government and a syndicate of life insurers and reinsurers is proposed, analyzed, and simulated and an ex post cost of 1.6 billon of 2017 pesos for the federal government is estimated.  Conclusions:  Protection provided to the Mexican government by the proposed longevity swap is remarkable. However, its cost has to be considered, as it is biased by the expected longevity behavior.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[longevidad]]></kwd>
<kwd lng="es"><![CDATA[swaps]]></kwd>
<kwd lng="es"><![CDATA[pensiones]]></kwd>
<kwd lng="en"><![CDATA[longevity]]></kwd>
<kwd lng="en"><![CDATA[swap]]></kwd>
<kwd lng="en"><![CDATA[pension]]></kwd>
</kwd-group>
</article-meta>
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