Information Matrix
Filter Information matrix
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.
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.
Benchmarking VaR for longevity trend risk
I recently wrote about an objective approach to setting the value-at-risk capital for longevity trend risk. This approach is documented in Richards, Currie & Ritchie (2012), which was recently presented to a meeting of actuaries in Edinburgh.
VaR-iation by age
During the public discussions of our paper on value-at-risk for longevity trend risk, one commentator asked for a fuller presentation of VaR capital requirements by age. In the paper, as with our introductory overview, we used age 70 as a representative average age of an annuity portfolio.
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.