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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.
VaR for longevity trend risk
Last month Stephen, Iain and Gavin presented their paper on putting longevity trend risk into a one-year, value-at-risk (VaR) framework. The presentations were made to audiences of actuaries in Edinburgh and London, and the video of the London debate is now available online.
Discounting longevity trend risk
Establishing the capital requirement for longevity trend risk is a thorny problem for insurers with substantial pension or annuity payments.
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.