LIFE
-
Lifestyle-Related Mortality
Added 4 104 ViewsPremature deaths and chronic conditions continue to grow worldwide. In order to reduce these early deaths, it is important to understand how lifestyle behaviors influence health outcomes. In this webcast, Julianne Callaway explains the impact of physical
-
Measuring Profitability from a Shareholder Perspective
Added 0 129 ViewsThis paper deals with the measurement of profitability of a life insurance company from the shareholders' perspective under a Solvency II framework. Profitability and solvency capital requirement of life insurance business are exposed to many levels of un
-
Options on tontines: an innovative way of combining tontines...
Added 0 83 ViewsIncreases in the life expectancy, the low interest rate environment and the tightening solvency regulation have caused insurers and policyholders to search for new, attractive retirement products. In this context, tontines and pooled annuities have gained
-
Valuation of variable annuities in a hybrid model driven by ...
Added 0 55 ViewsVariable annuities are life insurance products which are particularly attractive in a low interest rate environment. They allow the policyholder to participate in the growth of the economy through the performance of a reference fund, guaranteeing at the s
-
Fee structure and optimal investment mix in variable annuiti...
Added 0 50 ViewsWe discuss a portfolio management problem of the rational policyholder of a variable annuity (VA) with maturity guarantee who aims to maximize the utility of her terminal wealth. We consider a VA contract which allows the policyholder to modify her invest
-
Sensitivity Analysis of Annuity Models: What's inside the bl...
Added 0 72 ViewsAnnuities constitute a fundamental branch in the life insurance business. To obtain the cost of annuities, Financial and demographic factors are the key inputs for the related mathematical quantitative models. In this work [1], we adopt and compare differ
-
Fair valuation of insurance liability cash-flow streams in c...
Added 1 60 ViewsWe investigate fair (market-consistent and actuarial) valuation of insurance liability cash-flow streams in continuous time. We first consider one-period hedge-based valuations, where in the first step, an optimal dynamic hedge for the liability is set up
-
An Integrated Approach to Measuring Asset and Liability Risk...
Added 0 50 ViewsRisk measurement models for financial institutions typically focus on the net portfolio position and thus ignore distinctions between 1) assets and liabilities and 2) uncollateralized and collateralized liabilities. However, these distinctions are economi
-
500 Years of Annuity Mispricing
Added 1 280 ViewsPrima facie, valuing a longevity-contingent claim that provides guaranteed income-for-life should be a relatively straight forward operation. One selects a mortality basis with a proper discount curve and the remainder is left to expectations. And yet, hi
-
Optimal Allocation to Deferred Income Annuities
Added 0 31 ViewsIn our recently submitted paper we employ a lifecycle model that uses utility of consumption and bequest to determine an optimal Deferred Income Annuity (DIA) purchase policy. We lay out a mathematical framework to formalize the optimization process. The
-
Monte Carlo valuation of the initiation option in a GLWB var...
Added 0 36 ViewsWe focus on the initiation option featured in many Guaranteed Lifelong Withdrawal Benefit variable annuity contracts, granting their owner the right to decide the age at which lifetime withdrawals should begin. Such contracts have been successfully analys
-
Tontines, and the law of large numbers
Added 0 50 ViewsCombining the best of drawdown and annuity, the investment returns and the longevity credits, tontines offer a great alternative to current pension products. Tontines are well-understood under the assumption of constant market returns and a perfect pool.
-
Robustification of Monte-Carlo Simulations
Added 0 38 ViewsOne important point discussed between practitioners in insurance business is how many Monte-Carlo simulations are necessary to estimate the required Solvency Capital. A widespread opinion is that the larger the size of the Monte-Carlo sample is, the more
-
Almost Sure Convergence for Nested Simulations
Added 0 42 ViewsThe Solvency II framework provides a standard formula for the calculation of the risk capital (SCR = Solvency Capital Requirement) in one year, but also gives life insurance companies the freedom to develop an own internal model. By using such an internal
-
Testing the least squares Monte Carlo method for the evaluat...
Added 0 35 ViewsIn Europe, the Solvency 2 directive prescribes that insurers must hold eligible own funds at least equal to their Solvency Capital Requirements (SCR) defined as the value at risk (VaR) of the basic own funds with a confidence level of 99:5% over a time ho
-
The stochastic programming approach to asset-liability model...
Added 0 102 ViewsThe stochastic programming scenario optimization using multi-period stochastic linear programming is a very good approach to asset and asset-liability management. This talk discusses the authors experiences in building and implementing large scale ALM mod
-
Vine copulas in finance and insurance
Added 0 123 ViewsVine copulas have proven to be flexible dependence models, which are able to model tail dependence pattern as they occur in financial and insurance data. The models power is driven by the ability to construct a d-dimensional dependence model from a collec
-
Behavioural Economics
Added 3 237 ViewsBehavioral science helps insurers create products, policies and communications based on how people really do think and behave rather than how we think they should think and behave. In this webcast, Matt Battersby explains the key principles of behavioral
-
Italian disabled workers' survival: The variables that affec...
Added 0 113 ViewsOver the last years, labour markets are quickly changing due to ageing population, technological innovations and arising of new professions. In this evolving context, how can we manage “longevity risk� Is survival always i
-
Guarantees in Germany: Where are we and does it make sense?
Added 0 179 ViewsThe german life insurance market was for a long time dominated by endowment and annuity products with profit participation. For the classical business interest rates, mortality/morbidity assumptions as well as expence loadings are guaranteed. Guarantees o
-
Mortality of elite athletes: An application to football play...
Added 0 86 ViewsThe health benefits of moderate regular physical activity have been clearly demonstrated and are widely consensual. However, there is a growing debate over the potential adverse effects of strenuous physical activity, particularly at a professional level.
-
"Living on the edge" - 21 years on
Added 1 272 Views -
Machine Learning in Life Insurance - Searching for Patterns ...
Added 1 238 ViewsStochastic Cash Flow Models are at the heart of internal models for life insurance. They are used to project the payments to policy holders and future profits of the shareholders over the full duration of the contracts. However, the interactions of capita
-
Predictive Analytics in Life Insurance - How to Get Real Res...
Added 0 190 ViewsThere are several pitfalls to avoid in predictive modeling. One common mistake, “overfitting,” yields optimistic model results that will not replicate. In this webcast, RGA’s Rosmery Cruz describes what causes overfitting, and suggests s
-
The Future of Mortality
Added 0 375 ViewsA variety of mortality models can be used to project future mortality. However, the parameters of most of these models lack a clear demographic interpretation. Hence, it may be hard to identify forecasts which are not consistent to the most recent observe
-
It Takes Two: Why Mortality Trend Modeling is more than mode...
Added 0 159 ViewsMatthias Börger, Jochen Russ, Johannes Schupp Abstract: Increasing life expectancy and thus decreasing mortality rates constitute a global trend that can be observed in almost all countries worldwide. Estimating the current rate at which mortality ra
-
Return Smoothing and Risk Sharing Elements in Life Insurance...
Added 0 139 ViewsJochen Ruß a, Stefan Schelling b, * a Institute for Finance and Actuarial Sciences, Lise-Meitner-Strasse 14, 89081 Ulm, Germany and Ulm University, Institute of Insurance Science, Helmholtzstrasse 20, 89081 Ulm, Germany b Ulm University, Institute o
-
Global R&D Mortality Trends Update
Added 0 199 ViewsSlowing population mortality improvement trends have been evident in many countries in recent years, making forecasting mortality improvements in the short-term more difficult for actuaries. In this webcast, Peter Banthorpe presents a summary of this phen
-
Economic value of a french life savings contract in Euros
Added 0 98 ViewsApplying a Mark-to-Market approach to evaluate the fair value of the insurer's commitment (best-estimate) for a saving French contract in €, implies having the prices of options and guarantees of insurance policies. Since this informatio
-
New Capital Management Solutions under a Moving Regulatory F...
Added 0 173 ViewsThe European life insurance industry must adapt in order to survive a stagnant economic environment characterized by low interest rates and a volatile sovereign risk. New regulatory changes under Solvency 2 and IFRS 17 combined with new disruptive technol
