Mortality curves are a critical ingredient for the valuation of any longevity-related product (for example, pensions, life insurance, reverse mortgages). Typically, several statistical agencies provide mortality curves differentiated on gender per country. However, it has been documented that people’s mortality prospects differ beyond their differences in gender. Income, education, job type, etc might all have an impact on mortality. In this online training, we present 1) how such distinctive characteristics can be considered in a mortality model, 2) empirical results (based on Belgian data) and 3) the implications for retirement products valuations. Though the empirical results are based on Belgian data, many results are qualitatively in line with other European countries.

This session is primarily aimed at people active in the pension and insurance industry but should not present any major difficulties for other participants with an interest in the subject. No previous knowledge of mortality modelling is required. A basic understanding of mortality rates, finance and general statistics is assumed.

Technical Requirements
Please 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 to join the web session with a stable internet connection.

The goal of the session is to clarify the impact of various socio-economic factors on mortality and its impact on the valuation and risk-management of retirement products. At the end of the session people will have a good understanding of

1. Impact of socio-economic status on mortality rates
2. Impact of differences in mortality curves on product valuations
3. Adjusting mortality models to take socio-economic factors into account.
   

The language of the web session will be English.

Jeroen Kerkhof
Jeroen Kerkhof currently works as a quant consultant and RetireTech entrepreneur at VAR Strategies. He is also a part-time professor in econometrics at the Free University Brussels (VUB) and Ghent University. He started his professional career during his PhD at ABN-AMRO Bank (A’dam). Subsequently, he worked as a front-office senior quant at Lehman Brothers for the interest-rate and inflation derivatives trading desks and hands-on quant team leader at Morgan Stanley (European Head of fixed income research, London), Jefferies (Global Head of fixed income research, London) and Danske Bank (Head of non-linear interest-rate derivatives, Copenhagen). Before joining the VUB, he was the academic director of the Advanced Master in Quantitative Finance at Solvay Brussels School. He obtained his PhD from Tilburg University.