Longevity risk is one of the burning topics in the world of investment. Pension funds would dearly love to protect themselves against it. Investment banks have laboured for years to devise such protection. So far, nothingmuch has emerged.

Yet it is easy enough to envisage how such a market might work. All it takes is enough liquidity to form market prices, so that investors can buy and sell in the usual way. The question is how to kick-startthe whole process.