On the decomposition and dynamics of health insurance liabilities

On the decomposition and dynamics of health insurance liabilities

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Speaker: Marcus Christiansen (Carl von Ossietzky University of Oldenburg)

In the life insurance literature a novel decomposition approach was recently proposed that uses martingale representations for defining meaningful risk decompositions of future liabilites. The applications include risk management, product design, and capital regulation. This talk shows that and how this decomposition approach can be further developed for application in health insurance. Besides discussing the different sources of risk such as mortality risk, morbidity risk, and financial risk, special attention will also be given to the time dynamics.

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