Valuation and risk management of long-term insurance and pension claims

长期保险和养老金索赔的估值和风险管理

• 批准号: RGPIN-2016-04869
• 负责人: MacKay, Anne
• 金额: $ 1.31万
• 依托单位: Université du Québec à Montréal
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2017
• 资助国家: 加拿大
• 起止时间: 2017-01-01 至 2018-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=635963
• 关键词: Valuation; risk; management; long; term

Life insurance and pension benefits represent long-term obligations for insurers and pension plan sponsors, as they are often paid out over 20 years in the future. Such long-horizon liabilities expose benefit providers to an intricate combination of risks coming from unexpected changes in market conditions, mortality and longevity trends, and policyholder (or plan member) behaviour. The long-term nature of the liabilities increases uncertainty and requires careful risk management. Insurers and plan sponsors must also satisfy regulatory requirements, which guide and constraint their risk mitigation strategies. The long-term nature of life insurance and pension claims remains understudied in the actuarial literature. My research program has two main objectives. First, I want to

人寿保险和养老金福利是保险公司和养老金计划发起人的长期义务，因为它们通常在未来20年内支付。这种长期负债使福利提供者面临市场状况、死亡率和寿命趋势以及投保人（或计划成员）行为的意外变化带来的复杂风险。负债的长期性增加了不确定性，需要进行谨慎的风险管理。保险公司和计划发起人还必须满足监管要求，这些要求指导和约束他们的风险缓解战略。人寿保险和养恤金索赔的长期性质在精算文献中仍然研究不足。我的研究计划有两个主要目标。首先我想