Sessional Research Event: A Value-at-Risk Framework for Longevity Liabilities

A paper by Stephen Richards, Iain Currie and Gavin Ritchie.

Longevity risk faced by annuity portfolios and defined benefit pension schemes is typically long-term, i.e. the risk is of an adverse trend which unfolds over a long period of time. However, there are circumstances when it is useful to know by how much expectations of future mortality rates might change over a single year. Such an approach lies at the heart of the one-year, value-at-risk view of reserves, and also for the pending Solvency II regime for insurers in the European Union.

This paper describes a framework for determining how much a longevity liability might change based on new information over the course of one year. It is a general framework and can accommodate a wide choice of stochastic projection models, thus allowing the user to explore the importance of model risk. A further benefit of the framework is that it also provides a robustness test for projection models, which is useful in selecting an internal model for management purposes.

16:30- 17:00: An opportunity to informally meet the authors and ask a question prior to the presentation

17:00-17:30: Registration and networking

17:30-19:00: Presentation

Please note, that as a result of member feedback, we will be trialling a new ‘enhanced networking initiative’ at this sessional research meeting.

The purpose of this initiative is to improve integration and networking among members, with particular focus on making those who are newly qualified or new to events, feel encouraged to approach more experienced members and become integrated into the actuarial community.

At each meeting, members who have particular experience in the topic area or those who are happy to be approached by new members and share their experience will be asked to wear a yellow ribbon on their name badge.

We would invite all those members who are happy to wear a yellow ribbon on their name badge to signal that they encourage any member to approach them and ask questions about the sessional meeting, chat or even just to introduce themselves to get in touch with Event Management.