Speaker: Stéphane Loisel
In this talk, we present challenges related to understanding, modelling, hedging and monitoring longevity risk. We first describe longevity risk and its potential consequences for the insurance and pension industry. We then describe how to model longevity risk and uncertainty in presence of very heterogeneous demographers viewpoints. In particular we introduce population dynamics approach to longevity modelling. We present partial hedging solutions and the associated basis risk. We conclude with operational monitoring solutions. Numerical illustrations are given based on simulations and real world insurance portfolios.