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