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Sessional event: Mis-estimation risk: Measurement and Impact

Monday 29 February 2016 17:00 - 19:00

This sessional will cover mis-estimation risk, or level risk, known as the uncertainty over the current level of mortality in a portfolio of annuities or pensions in payment.

This sessional will cover mis-estimation risk, or level risk, known as the uncertainty over the current level of mortality in a portfolio of annuities or pensions in payment.

 

To date, actuaries have used a variety of ad hoc approaches to mis-estimation risk, most of which are based around a published table which might not fit the experience very well.  Such methods typically don't allow for many risk factors.  Most of these methods also require a long enough time series of annual mortality observations, which many portfolios don't have.

In contrast, the method presented is based on parametric statistical models, and can allow for any number of relevant risk factors.  The method presented also requires a far shorter time series than the methods used to-date.

This event is aimed both at life actuaries (due to the application to Solvency II and bulk-annuity pricing) and pensions actuaries (for assessing risk in setting a mortality basis).

Event organiser

Contact Niki Park for more information.

Niki.Park@actuaries.org.uk

020 7632 2152

CPD

CPD
1.50 hours

Location

Address

9 Queen St, Edinburgh EH2 1JQ

Nearest Public Transport

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