Modelling and Quantifying Mortality and Longevity Risk
Announcement from the Swiss Association of Actuaries (SAA):
We are delighted to announce the 35th International Summer School of the Swiss Association of Actuaries that will be held at the University of Lausanne from June 3rd to June 7th 2024.
The scientific directors will be Katrien Antonio (KU Leuven), Torsten Kleinow (University of Amsterdam) and Michel Vellekoop (University of Amsterdam), with the assistance of Jens Robben (KU Leuven).
Learning from historical and recent evolutions in mortality rates and life expectancy is key to produce realistic scenarios for future mortality rates, necessary for the valuation of the liabilities of life insurance companies and pension funds. The 2024 edition of the Summer School of the Swiss Association of Actuaries will focus on actuarial, statistical and machine learning tools to model mortality data, and the use of the constructed models for the valuation and management of life contingent risks.
The Summer School will kick off with an introductory, motivational lecture and discussion that sets the scene for the technical tools that will be studied during the week. This lecture will provide an overview of the exposure of European insurance companies and pension funds to longevity risk and some of the most notable recent transactions in an attempt to hedge this risk (e.g., Aegon reinsuring the longevity exposure of Dutch pension insurance contracts with Reinsurance Group of America, end of 2021). Moreover, the lecture will sketch key points in the ongoing debates on the sustainability of pension systems, illustrated a.o. with the upcoming change in the Dutch second pillar from a collective system with defined benefits to a collective defined contribution scheme.
Participants will explore the construction and calibration of stochastic multi-population mortality models from annual, all-cause, population-level death counts and exposures. We cover the state-of-the-art literature and discuss the essentials of the stochastic multi-population mortality model developed (and maintained) by the Royal Dutch Actuarial Association. This model was developed via a unique partnership between industry and academia and elegantly combines insights from the evolution in mortality rates in a set of European countries on the one hand and the mortality statistics of the country of interest (e.g., the Netherlands) on the other hand. The use of the constructed model as a generator of scenarios for future mortality rates will be demonstrated. Relying on our first-hand experience, we will also cover related topics such as the biennial updates of the model, its impact on industry and the response to modeling challenges such as the COVID-19 shock.
Next, participants will explore data handling and exploration tools as well as statistical and machine learning methods to unravel insights from more granular mortality data. The analysis of cause-specific mortality rates will extend our initial focus on all-cause mortality data. Modelling mortality rates for a book of insureds in the presence of covariates or risk factors allows to go beyond the initial set-up of population-level mortality data. Instead of working with annual data, we will also explore more fine-grained time scales (daily, weekly) and the relation between high-resolution gridded data sets on climate and environmental variables and mortality statistics at a regional level.
The lectures will be supplemented by several practical sessions where the participants will apply the learned statistical techniques to mortality datasets using the R software environment. A dedicated GitHub repo and landing page with the course material (including data, scripts, background reading material and lecture sheets) will be shared with the participants.
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Katrien Antonio is full professor in actuarial science at KU Leuven (Belgium) and part-time professor in actuarial data science with the University of Amsterdam (the Netherlands). She teaches (BSc, MSc) courses on life insurance mathematics, loss models, and data science for insurance. Her research puts focus on insurance data science, with applications in insurance pricing, reserving and stochastic mortality modelling. Her work has been published in actuarial journals (e.g., ASTIN, IME, North American Actuarial Journal, Scandinavian Actuarial Journal), in statistics and OR journals. Currently, Katrien serves as vice-dean for education at the Faculty of Economics and Business (FEB), campus Leuven, and as program director of the MSc in actuarial and financial engineering at KU Leuven. Personal website: https://katrienantonio.github.io
Torsten Kleinow is full professor at the University of Amsterdam and director of the university’s Research Centre for Longevity Risk (https://rclr.nl/). He studied mathematics at Humboldt-Universität zu Berlin and received his degree in 1998. He later obtained a PhD degree in Statistics from the same institution. Before joining the University of Amsterdam in August 2022, Torsten had a post-doc position at the University of Ulm and worked as lecturer and associate professor at Heriot-Watt University in Edinburgh. He is an examiner for the Institute and Faculty of Actuaries and a former member of the IFoA’s Life Research Board. During his academic career he held several administrative roles, and he continues to participate in various international research projects related to mortality and longevity.
Michel Vellekoop is full professor in the Actuarial Sciences and Mathematical Finance group at the University of Amsterdam. He studied Applied Mathematics at the University of Twente and obtained his PhD. degree in 1998 at Imperial College in London for research on nonlinear filtering problems for stochastic processes. Since then, he has focused on applications in finance and insurance, both as an academic and as director of research for the Derivatives Technology Foundation. His main interests are valuation and risk management problems for contingent claims in complete as well as incomplete markets. He is the former vice-chair and current scientific advisor for the committee of the Dutch Actuarial Association which is responsible for the Dutch stochastic mortality model and projections that are published in even years. In 2022 he was one of the authors of the report for the Dutch government which defines the new model to generate economic scenarios that will be used by supervising authorities in the new Dutch pension system.
Jens Robben holds the degrees of MSc in Mathematics and MSc in Actuarial and Financial Engineering from KU Leuven. He is currently working towards a PhD in Business Economics with the actuarial research group at KU Leuven.