4 Oct 2022
Dependence Between Longevity and Financial Risks
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.
Organised by the EAA – European Actuarial Academy GmbH.
The web session is open to all interested persons, especially for financial and life actuaries and everybody motivated by actuarial and financial valuation issues.
Technical RequirementsPlease check with your IT department if your firewall and computer settings support web session participation (the programme Zoom will be used for this online training). Please also make sure that you are joining the web session with a stable internet connection.
Purpose and Nature