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: 2018
• 资助国家: 加拿大
• 起止时间: 2018-01-01 至 2019-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=658301
• 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 provide novel ideas to mitigate long-term risks and improve hedging strategies. Second, I want to develop quantitative tools to better assess and quantify long-horizon liabilities and the risks they carry.***Risk management of long-term claims***Long-term claims can be hedged by constructing a portfolio that replicates the value of their liabilities. As market conditions and other risk factors develop, the value of the liabilities change and the replicating portfolio must be re-balanced to track this evolution. Through my research, I will improve the design of equity-linked life insurance contracts in order to decrease the sensitivity of the liabilities to specific risk factors. In particular, I will study the interaction between the fee structure of variable annuities and the sensitivity of the liabilities to market volatility and unexpected surrenders. These results will guide the design new types of contracts, whose liabilities can be hedged more easily.***Risk quantifying tools for long-term claims***Specific tools are required to analyse and quantify the risks carried by long-term liabilities. In fact, insurers, plan sponsors and regulators usually seek to assess a claim at various time points over its duration. The results of such analysis should lead to decisions that are consistent through time. Stakeholders are also interested in the characteristics of an entire path of a claim's liabilities and of the associated portfolio. For example, pension plan sponsors seek to avoid volatile asset values, as they lead to high costs under new regulations. My objective is to adapt existing risk measures and valuation methods, and to eventually define new ones, in order to appropriately quantify long-term risk. I will also study risk measures that take into account the whole path of a risky process, and use them to recommend long-term investment strategies. ***Through my research program, I will help the pension and insurance industry better understand and manage the risks embedded in long-term claims, which will place them in a better position to fulfill their obligations towards policyholders and retirees.********

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。此类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）行为意外变化带来的复杂风险组合。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，我想提供一些新的想法来减轻长期风险，改善对冲策略。第二，我想开发量化工具，以更好地评估和量化长期负债及其带来的风险。长期债权的风险管理 *** 长期债权可以通过构建一个复制其负债价值的投资组合来对冲。随着市场条件和其他风险因素的发展，负债的价值发生变化，必须重新平衡复制的投资组合，以跟踪这一演变。通过本文的研究，可以改进权益连结型寿险合同的设计，以降低负债对特定风险因素的敏感性。特别是，我将研究可变年金的费用结构和负债对市场波动和意外退保的敏感性之间的相互作用。这些结果将指导设计新类型的合同，其负债可以更容易地对冲。长期债权的风险量化工具 * 需要特定工具来分析和量化长期负债的风险。事实上，保险公司、计划发起人和监管机构通常会在索赔持续期间的不同时间点对索赔进行评估。这种分析的结果应导致作出长期一致的决定。利益相关者还对索赔负债的整个路径和相关投资组合的特征感兴趣。例如，养老金计划发起人寻求避免资产价值波动，因为在新的监管规定下，这会导致高成本。我的目标是调整现有的风险度量和估值方法，并最终定义新的方法，以便适当地量化长期风险。我还将研究考虑风险过程的整个路径的风险度量，并使用它们来推荐长期投资策略。* 通过我的研究计划，我将帮助养老金和保险业更好地了解和管理长期索赔中的风险，这将使他们能够更好地履行对投保人和退休人员的义务。