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

点击翻译按钮获取中文摘要

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