Assessing the economic impact of longevity hedges

Assessing the economic impact of longevity hedges

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Speaker: Andrew Cairns

In this session we will consider the impact of longevity risk on the solvency of life insurers. Specifically, we will consider what the options are for an insurer to manage its exposure to longevity risk. In recent years risk management options have included both customised longevity swaps through to index based hedges with option-type characteristics. We will discuss howthe different options can be compared in a fair way in botha regulatory and economic capital setting. And we will discusshow to convert the multiperiod impact of a hedge on economic capital into a single value that can allow comparison of hedgingchoices. This research is funded by the Actuarial Research Centre of theInstitute and Faculty of Actuaries.

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