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SEMINAR

16/17 Apr 2018 in Stockholm

Life Annuities – From Basic Products to Capital Management

Life annuities provide protection against the risk of outliving the assets available at the time of retirement, because of a long lifetime or a poor investment performance. Hence, purchasing a life annuity, i.e. annuitizing (a part of) the assets available at the retirement time, should constitute a logical individual choice, especially if no other pension resources are available. Market evidence however shows a low propensity to annuitize the assets. Of course, good reasons work against the annuitisation. In particular, the technical mechanism underpinning life annuities implies that, at the annuitant’s death, the available fund related to the annuity must be shared among the surviving annuitants, so that nothing is credited to the annuitant’s estate. This feature is clearly in contrast with a bequest motivation. Further, a life annuity provides the annuitant with an “inflexible” post-retirement income: the annual amounts must be in line with the benefit profile, as stated by the policy conditions. Finally, purchasing a life annuity is an irreversible decision: surrendering is generally not allowed to the annuitants (clearly, to avoid adverse selection effects); hence, the life annuity constitutes an “illiquid” asset in the retiree’s portfolio.

The above features can be perceived as disadvantages, and can hence weaken the propensity to immediately annuitize a significant share of the amount available at retirement. These disadvantages can be mitigated, at least to some extent, either by purchasing life insurance products in which other benefits are packaged, or adopting specific annuitisation strategies.

The seminar will focus on various product designs and related actuarial aspects, as well as on reserving, capital needs and risk management issues.

Organised by the EAA - European Actuarial Academy GmbH in cooperation with the Svenska Aktuarieföreningen.

Participants

The seminar is open to all interested persons, such as actuaries operating in life insurance companies as well as in pension funds, consultants and supervisors. It is expected that the participants have an understanding of basic financial mathematics and probability theory.

During this seminar you will not need your laptop.

Purpose and Nature

The seminar aims at providing the participants with a good understanding of the nature of life annuity products and related actuarial aspects, going into details on some particular and critical features and outlining recent developments.

To this purpose, the seminar first focuses on the basic features of standard life annuities, then moving to more modern annuity products and to alternative strategies for the post-retirement income. Market insights are provided as well as accounting and reserving issues; finally capital needs and risk management issues are addressed.

More specifically, the following topics will be covered:

  • Introduction: the five “W” (What, Why, When, Who, Where)
  • Some preliminary ideas
  • Basic products and relevant actuarial aspects
    • Technical bases
    • Premiums and Reserves
  • A more general framework
  • Guarantee structures
    • From standard products to Variable Annuities
  • The payment profile
    • Asset-linked benefits, longevity-linked benefits
  • Options and rider benefits
  • The annuity rate
    • Risk factors, rating factors, rating classes
    • Special-rate annuities
  • Cross-subsidy in life annuity portfolios
    • Mutuality, Solidarity
    • Tontine schemes
  • Strategies for the post-retirement income
    • Life annuities versus income drawdown
    • Phased retirement
  • Life annuity products providing LTC benefits
  • Markets insights
    • Challenges in the German market versus other insurance markets
  • Accounting, Reserving
    • Accounting of Annuities under current IFRS / US-GAAP rules and under the new
      IFRS 17
  • Capital needs & Risk Management
    • Market value balance sheet
    • Internal models versus standard formula
    • Integration of annuity products in the risk management and ALM framework

Language

The language of the seminar will be English.

Lecturers

Ermanno Pitacco
Ermanno Pitacco is full professor of Actuarial mathematics and Life insurance technique in the University of Trieste as well as academic director of the Master in Insurance and Risk Management at the MIB School of Management of Trieste. He collaborates with the CEPAR Research Center of the University of New South Wales (Sydney). In addition, he has been visiting professor in various universities (recently: University of Louvain-La-Neuve; University of Ljubljana; University of Zagreb; University of Kyoto).
Main fields of scientific interest are life and health insurance mathematics and techniques, pension mathematics, longevity risk and portfolio valuations. He is author or co-author of textbooks and papers in the fields of scientific interest. His papers have been published, among the others, on: Insurance Mathematics & Economics, ASTIN Bulletin, Journal of Pension Economics and Finance, Risks, Geneva Papers on Risk and Insurance, Belgian Actuarial Bulletin, Journal of Actuarial Practice, Applied stochastic models in business and industry, AStA Advances in Statistical Analysis, Giornale dell’Istituto Italiano degli Attuari.

Alexander Dotterweich
Alexander Dotterweich is a Partner within Actuarial Services team of PricewaterhouseCoopers Germany. As such, he is responsible for actuarial audits (Local GAAP, IFRS, MCEV, Solvency II) as well as consulting projects. Alexander has long-term experience on life insurance and risk management topics for national and global clients. In the past, he did various presentations in national, international actuarial society meetings and has been engaged as a lecturer in the risk management and actuarial education. He contributed to the development of audit standards for the Market Value Balance sheet in the German Market.

Participant Feedback

4.38 of 5 Points

Venue & Accommodation

The seminar will take place at the

Scandic Hotel Anglais
Humlegårdsgatan 23
102 44 Stockholm, Schweden
Phone: +46 8 517 340 00
www.scandichotels.com/anglais

We have arranged special prices for accommodation. A single room costs 1,490 SEK per night, including breakfast and taxes. This price is valid for bookings out of our allotment until 17 March 2018. Please book your accommodation directly with the hotel by sending an email to meeting.anglais@scandichotels.com and put the following rate code "464541125" in the subject line. Kindly book early, as our allotment includes a limited number of rooms, and note the hotel’s cancellation policy.