Research Centre for Longevity Risk

"A generation or two ago, living into your 70s and beyond was more of a hope than an expectation. Now it is the norm. Yet there is huge variation in our lives as we age with many people, especially those from poor and some minority ethnic backgrounds, leading shorter lives blighted by bad health and limited opportunity." Says our Senior Evidence Manager, Aideen Young. Read more in our blog: https://lnkd.in/eegm523c #Ageing #AgeingPopulation #AgeingSociety #OlderPeople #Age

Different jurisdictions often have different regulations. Different traditions might also have different pedagogies in teaching technical topics. Life insurance is possibly a good example of these practicalities. Almost all of the literature on Thiele’s equation and surplus in life insurance uses a model inspired by Scandinavian-style regulation with two technical bases, called first-order and second-order. This is more restrictive than practice in many jurisdictions such as in the UK and North America. In this paper, to bridge any gaps between in different traditions in life insurance, ·      we classify technical bases in terms of boundary conditions in Thiele’s equation(s), allowing more general regulations than Scandinavian-style ‘first-order/second-order’ regimes and ·      we propose a ‘canonical’ model with three technical bases (premium, valuation, accumulation) and show how each pair of bases defines premium loadings and surplus. To find out more about our recent article in collaboration with Torsten Kleinow and Angus Macdonald, please click the following link: https://lnkd.in/gGgU67gF

This week the Department of Actuarial Science of HEC Lausanne - The Faculty of Business and Economics of the University of Lausanne hosted the 35th International Summer School of the Swiss Association of Actuaries on "Modelling and Quantifying Mortality and Longevity Risk". More than 80 participants from 13 countries enjoyed great courses by Katrien Antonio, Michel Vellekoop, Torsten Kleinow, Frank van Berkum and Jens Robben. Many thanks to the teachers and all participants for the active participation! #actuary #longevity #internationalsummerschool Research Centre for Longevity Risk

The ageing population and increases in longevity have drawn attention to the management of longevity risk in pension funds, life insurers and health insurers. Governments face the challenge of financing an ageing population with longer life spans and providing an environment conducive to private market solutions. Reinsurers and financial market innovations such as securitization are critical components in the management of longevity risk. Leading international industry and academic representatives as well as policy makers will meet and discuss not only the assessment of longevity risk, but also the market and regulatory developments and responses needed by pension funds and insurance companies to manage this risk. Key themes of Longevity 19 will include ageing and health, pension de-risking, developments in the longevity risk market, and longevity issues such as those relating to climate change and COVID-19. Come and join us at the 19th International Longevity Risk and Capital Markets Solutions Conference on Monday 16th and Tuesday 17th September in Amsterdam. Full information and conference programme can be found here, and is updated regularly https://lnkd.in/ekWNE-WC. See you in Amsterdam

Researcher Daniël Linders has won the inaugural Ragnar Norberg Memorial Prize. His paper, 'The 3-Step hedge-based valuation: fair valuation in the presence of systematic risks,' was published in the ASTIN Bulletin - Journal of the International Actuarial Association (IAA). The prize was handed out by the IAA's Life Section. Read the award-winning paper via the link in the comments.   #researchaward #actuarialscience #researchexcellence

Since the beginning of the 19th century, mortality rates have been on a downward trend in Europe, though there have been (temporary) jumps that have disrupted the trend. Modeling future mortality rates is critical to evaluating life-contingent risks, and (re)insurers need to be able to generate scenarios for future mortality experience that can allow for age-specific shocks in mortality rates that may last several years.    In a new paper, Jens Robben and Katrien Antonio - both of KU Leuven - develop a toolbox that addresses this need, allowing for the presence of catastrophic shocks. The importance of this toolbox is heightened after recent experiences, like the COVID-19 pandemic, may suggest that (re)insurers are concerned about other potential catastrophes.   Given the toolbox can enable actuaries and risk managers to personalize the occurrence and impact of shocks to meet their needs, appetite, or regulatory requirements, the authors' work has important implications for the industry. This work also allows stakeholders - including policymakers - to evaluate how a given catastrophe may impact solvency.   #mortality #modeling #catastrophes