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Posts feedAnalysis of VaR-iance
In recent years we have published a number of papers on stochastic mortality models. A particular focus has been on the application of such models to longevity trend risk in a one-year, value-at-risk (VaR) framework for Solvency II. However, while a small group of models has been common to each paper, there have been changes in the calculation basis, most obviously where updated data have been used.
Twin peaks
If you are over forty, the title of this blog will call to mind an iconic, sometimes disturbing, television series of the same name from 1990. If you clicked on the link expecting murder, surreal horror and an undercurrent of sleaze, however, then this posting is as far away from all that as you are ever likely to get.
Division of labour
At this time of year insurers have commenced their annual valuation of liabilities, part of which involves setting a mortality basis. When doing so it is common for actuaries to separate the basis into two components.
What — and when — is a 1:200 event?
The concept of a "one in two hundred" (1:200) event over a one-year time horizon is well established as a reserving standard for insurance in several territories: the ICA in the United Kingdom, the SST in Switzerland and the forthcoming Solvency II standard for the entire European Union.
Quantiles and percentiles
Quantiles are points taken at regular intervals from the cumulative distribution function of a random variable. They are generally described as q-quantiles, where q specifies the number of intervals which are separated by q−1 points.
A benchmark for longevity swap prices
What should a reinsurer charge for longevity risk? Is it possible to benchmark longevity swap prices? One answer to these questions comes from an unlikely source: European Solvency II.
Discounting longevity trend risk
Establishing the capital requirement for longevity trend risk is a thorny problem for insurers with substantial pension or annuity payments.
Following the thread
Gavin recently explored the topic of threads and parallel processing. But what does this mean from a business perspective?
Trend risk and age
There are several ways of looking at longevity trend risk, as covered in our recent seminar. However, regardless of how you choose to look at this risk, there are some pitfalls to watch out for.
Seminar on stochastic projection models
We previously ran a seminar on stochastic projection models for longevity risk. Our follow-up seminar focuses on specific aspects of ICAs and Solvency II.