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Modelling, Measurement and Management of Longevity and Morbidity Risk

This programme is application driven, with impact and innovation in the pensions and insurance industries and beyond as its primary aims

Programme objectives

  • development of the next generation of single and multi-population mortality models that are robust, straightforward to apply and that are designed explicitly to push back the barriers to financial innovation
  • developing open access modelling of the key drivers of mortality such as smoking, obesity and other lifestyle factors and understanding how these interact with all-cause mortality and cause-of-death mortality data
  • development of a robust, scientific approach that helps key stakeholders to understand better the wider range of options for managing longevity risk
  • development of new methods for pricing and reserving for Critical Illness Insurance.

This multidisciplinary team is lead by Professor Andrew Cairns. The programme is co-sponsored with the Society of Actuaries and the Canadian Institute of Actuaries. The programme supports three PhD students in actuarial science.

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Recent Events

ARC Webinar Series - 02 October 2018

Following the successful launch of the 2017 Actuarial Research Centre (ARC) webinar series, the ARC ran a further series of webinars in 2018 to showcase its largest cutting-edge research programmes, addressing some of the significant challenges in actuarial science. A recording of the webinar for this programme is available on YouTube and is posted on the IFoA's online learning webpages.

Canada Pension Plan triennial Conference - 28 September 2018

Professor Andrew Cairns was in Ottawa where he presented at the 2018 Canada Pension Plan triennial Conference. This presentaion was on past and future longevity trends with a focus on CPP and QPP mortality data. The presentation slides are avialable to view in the research programme's outputs section.

International Congress of Actuaries - 04 June 2018

Professor Andrew Cairns delivered two presentations at the 31st ICA conference in Berlin where he discussed his work on: 'Assessing the Economic Impact of Longevity Hedges' and 'Socio-economic Status and Cause of Death Rates'. Both presentations are available to view in the research programme's outputs section.

Research Programme Annual Workshop - 26 April 2018

The research team discussed their work on: Cause of Death Mortality and Health Inequalities, Professor Andrew Cairns; Deprivation and Mortality, Dr. Torsten Kleinow; Modelling Cardiomyopathies, Prof. Angus Macdonald; Critical Illness Insurance Rates: Are They Changing Over Time and How?, Dr. George Streftaris.

This event nurtured discussions between some key stakeholders on the potential impact of this research programme and future areas of interest. Workshop resources can be found in the outputs section below.                         

Sessional meeting:Still Living with Mortality - 29 January 2018

More than a decade after their original work Living with Mortality was published, Professors David Blake, Andrew Cairns and Kevin Dowd are investigating how the longevity risk transfer market has developed over the intervening period, and, in particular, how insurance-based solutions – buy-outs, buy-ins and longevity insurance – triumphed over the capital markets solutions that were expected to dominate at the time.
 
At this sessional meeting, Professors Blake and Cairns discussed some of the capital markets solutions which have come to market and why they think the volume of business has been disappointingly low. They also highlighted the importance of stochastic mortality models for forecasting future longevity and examined some applications of these models in terms of measuring and hedging longevity risk, determining the longevity risk premium, pricing a buy-out, and estimating regulatory capital relief. A link to the sessional paper can be found here. A link to the recording can be found here.
 
 

Contact Details

If you want more information about our research programmes please contact the IFoA Actuarial Research Centre:

arc@actuaries.org.uk