Mis-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.
Contact Niki Park for more information.
020 7632 2152
This webinar will take place at 08.30 BST.