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Sessional Meeting - A Value-at-Risk Approach to Mis-Estimation Risk

Monday 10 May 2021 08:30 - 10:00

Sessional Meeting - Free to viewMis-estimation risk is a key element of demographic risk, and past work has focused on mis-estimation risk on a run-off basis.  However, this does not meet the requirements of regulatory regimes like Solvency II, which demands that capital requirements are set through the prism of a finite horizon like one year.  This paper presents a value-at-risk approach to mis-estimation risk suitable for Solvency II work.

Speaker: Dr Stephen Richards

Dr. Stephen Richards is the managing director of Longevitas, a specialist provider of mortality-analysis software for actuaries.  He is an Honorary Research Fellow at Heriot-Watt University.

 

 

 

 

Chair: Robert Kairis, Lloyd's Banking Group

Robert Kairis leads the longevity function at Lloyds Banking Group, where he is responsible for the setting of demographic assumptions for individual and bulk annuities. He has over a decade of experience building and developing longevity risk models. Robert is a member of the Continuous Mortality Investigation’s Annuities Committee, which produces widely used industry standard mortality tables for UK annuities. He has also participated in a number of longevity related working parties.

 

 

 

Event organiser

Contact Niki Park for more information.

Niki.Park@actuaries.org.uk

020 7632 2152

This webinar will take place at 08.30 BST. 

Location