The Retirement Phase – Part 2: Actuarial Modelling of Longevity Risk

Event Type
Web Session
Organizer
European Actuarial Academy
Date
Time

Start time: 8.00 am

End time: 10.00 am

Venue
Online
Description

Announcement from the European Actuarial Academy organiser: Due to demographic changes and the resulting challenges for government-run pay-as-you-go systems, the importance of funded private or occupational old age provision will further increase in the future. Further taking into account the steadily decreasing interest rates, many products within the segment of old age provision have been developed, which on the one side cover for longevity risk and on the other side further combine guarantees with some kind of capital market participation. These product innovations together with the demographic trends lead to new questions and challenges for life insurance companies and actuaries.

In this web session, we will therefore focus on the retirement phase of old age provision and introduce specific risk management issues during the retirement phase by also focussing on modelling and management of longevity risk.

The web seminar is suited for actuaries who are directly or indirectly involved in issues related to developing or controlling life insurance products with a focus on the retirement phase. Hence, actuaries working in the fields of product development, risk management, marketing, supervision, and audit can benefit from this online training. For this web session, the participants require no deep prior understanding of retirement phase products or modelling of longevity risk.

The aim of the online training is to share a few thoughts on particular risks and the actuarial modelling behind products in the retirement phase. Special attention will be given to the actuarial modelling of longevity risk by an introduction of stochastic mortality models and its applications within product development.
The web seminar will mainly deal with actuarial modelling of longevity risk. In particular, we will show why stochastic mortality modelling can be necessary and helpful within the product development of retirement phase products. For doing so, we will introduce two popular approaches (Lee-Carter and Cairns-Blake-Dowd) for the modelling of longevity risk and show an application within a case study

The registration fee is € 100.00 plus 16% VAT. To register for this web session click here

For a 20% discount on the series "The Retirement Phase: Product Development and Actuarial Modelling of Longevity Risk" series, click here

Agenda

Actuarial modelling of longevity risk and applications in product development

  • Motivation: demographic trends
  • Actuarial modelling of longevity risk
  • Applications in product development
  • Case study
Biographical details

Dr Stefan Graf
Stefan Graf is senior consultant at the Institut für Finanz- und Aktuarwissenschaften, Ulm Germany. The main focus of his work is on the development and design of unit-linked life insurance products with guarantees with special interest in product comparison methodologies.
He graduated from Ulm University (diploma in Mathematics and Economics) in 2008 and completed his dissertation on “Risk-Return Profiles for Retirement Planning” in 2013. He is a member of the German Association of Insurance and Financial Mathematics (DGVFM) and of the German Actuarial Association (DAV) where he is a member of the working group “consumer protection”.

Dr Alexander Kling
Alexander Kling is partner and senior consultant at the Institut für Finanz- und Aktuarwissenschaften, Ulm Germany. The main focus of his work is on the development and design of innovative life insurance products.
He graduated from University of Wisconsin, Milwaukee (MSc. in Mathematics) in 2002 and from Ulm University (diploma in Mathematics and Economics) in 2003. He has completed his doctoral thesis at Ulm University in 2007 and his habilitation in 2019.
Alexander Kling is a member of the German Actuarial Association (DAV), the International Actuarial Association (IAA), the German Association of Insurance and Financial Mathematics (DGVFM), and associated member of the Munich Risk and Insurance Center (MRIC).
Besides his consulting work, he is a lecturer at Ludwig-Maximilians-Universität Munich, Ulm University, and the German as well as European Actuarial Academy (DAA and EAA).

Dr Johannes Schupp
Johannes Schupp is senior consultant at Institut für Finanz- und Aktuarwissenschaften, Ulm Germany. His main areas of expertise are the development of innovative life insurance products and the application of Data Analytics methods in the insurance context. In addition, he accompanies projects with a focus on the modelling and management of biometric risks, in particular longevity risk.
Johannes holds a PhD in actuarial mathematics from Ulm University. He is still an active researcher on topics related to his actuarial work. He is a member of the German Actuarial Association (DAV).