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EAA Web Session: "Dependence Between Longevity and Financial Risks" on 4 October 2022Feed RSS

Corsi di Formazione - 20/06/2022

EAA Web Session 

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Dependence Between Longevity and Financial Risks

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4 October 2022 | 9:30-12:45 CEST

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Dear Giampaolo

Traditionally, valuation models in life insurance assume an independence between the financial risks and the mortality or longevity risks. This orthogonality between insurance and finance allows for to apply in the valuation procedure a clear separation between on the one hand the discount effect and on the other hand the survival probabilities.

We can say that this independence is really at the heart of the models, from classical actuarial pricing to more modern stochastic models. This independence principle could seem reasonable at first sight.

However, different circumstances could lead to correlation between mortality / demographic evolutions and the financial markets. The recent effects of COVID illustrate perfectly this point. Ageing is another potential example of demographic phenomenon with expected consequences on financial investments.

What happens if we introduce in the stochastic models of valuation used in life insurance a correlation between interest rates or risky returns and mortality intensities? This will be the topic of this session.

Your early-bird registration fee is € 150.00 plus 19% VAT for bookings by 23 August 2022. After this date, the fee will be € 205.00 plus 19% VAT.

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Details

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Programme

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Registration

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Coming soon...

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How to Read the New IFRS Balance Sheet for Insurers | 23 June 2022

CERA, Module B: Taxonomy, Modelling & Mitigation of Risks | 26-30 September 2022

IFRS 17: Scope and Unit of Account | 5 October 2022

...and a lot more! Explore our website for more information or download our overview.

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actuarial-academy.com

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