Actuarial risk management in pensions and life insurance

养老金和人寿保险精算风险管理

• 批准号: RGPIN-2018-03754
• 负责人: Hardy, Mary
• 金额: $ 2.99万
• 依托单位: University of Waterloo
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2019
• 资助国家: 加拿大
• 起止时间: 2019-01-01 至 2020-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=688184
• 关键词: Actuarial; risk; management; pensions; life

Actuaries are responsible for the financial security of millions of individual policyholders and pension plan members. The long term goal of my research is to blend actuarial science and financial mathematics to develop improved, innovative and implementable models and methods for the actuarial design and management of financial guarantees in life insurance and pension plans. Our methods will be scientifically and empirically validated, with an emphasis on practical application.*** The first area of focus is Variable Annuity (VA) insurance policies. VAs are popular in retirement planning in Canada, the US and parts of Asia. VA contracts look like mutual fund investments, but with complex guarantees that can be very difficult to measure and manage. Insurers have developed sophisticated partial hedging strategies which they must assess regularly, to ensure they have access to sufficient funds if economic conditions become adverse. This assessment involves a huge computational burden. We are developing methods to estimate the potential losses more efficiently, enabling more frequent monitoring of the risk development, and therefore allowing a more rapid response if it becomes necessary to change course. ***We will also examine available data on how policyholders use the options and guarantees embedded in their policies, to ensure that the guarantees are meeting the real needs of the policyholders.***The second area of focus is the design and risk management of guarantees in retirement income systems. Retirement income may be provided through a defined benefit (DB) pension plan, or by converting liquid assets (from a defined contribution plan, or from personal savings) into income after retirement. We will look at the embedded options implicit in some pension designs, and develop better methods for valuation, hedging and funding the liabilities. We also assess whether the designs are fit for purpose. ***In the past two decades, there has been a transition of retirement planning from targeting income to targeting net assets at retirement. This creates a huge burden for most retirees, who do not have the financial sophistication to manage their assets through a potentially long retirement. We will investigate retiree attitudes to risk, quantitatively and qualitatively. We will use this information to design methods of converting liquid assets into retirement income in a way that meets retirees' real and perceived needs, and that also benefits society, by ensuring that individuals can retire comfortably, without exhausting their assets.***Retirement income planning is a critical issue for Canada, following the decline of DB plans, the systemic failures of the 2007/9 financial crisis, the prolonged low interest rate environment, and increasing longevity of an aging population. Our applied research in innovative design and risk management of retirement income systems is both timely and important.

精算师负责数百万个人投保人和养老金计划成员的财务安全。我研究的长期目标是融合精算学和金融数学，开发改进的、创新的和可实施的模型和方法，用于人寿保险和养老金计划中财务担保的精算设计和管理。我们的方法将经过科学和经验的验证，重点放在实际应用上。*第一个重点领域是可变年金(VA)保单。VAS在加拿大、美国和亚洲部分地区的退休计划中很受欢迎。退伍军人管理局的合同看起来像共同基金投资，但有复杂的担保，可能很难衡量和管理。保险公司开发了复杂的部分对冲策略，它们必须定期评估这些策略，以确保在经济状况变得不利时能够获得足够的资金。这种评估涉及到巨大的计算负担。我们正在开发更有效地估计潜在损失的方法，从而能够更频繁地监测风险发展，从而在需要改变路线时能够更快地做出反应。*我们还将研究有关投保人如何使用其保单中包含的选项和担保的现有数据，以确保担保满足投保人的真正需求。*第二个重点领域是退休收入系统中担保的设计和风险管理。退休收入可通过固定收益(DB)养老金计划提供，或通过将流动资产(来自固定缴款计划或个人储蓄)在退休后转换为收入来提供。我们将研究一些养老金设计中隐含的隐含期权，并开发更好的估值、对冲和为负债融资的方法。我们还评估这些设计是否适合用途。*在过去20年里，退休规划从以收入为目标转变为以退休时的净资产为目标。这给大多数退休人员带来了巨大的负担，他们没有足够的财务经验来管理自己的资产，以度过潜在的漫长退休生活。我们将从数量和质量两个方面调查退休人员的风险态度。我们将利用这些信息来设计将流动资产转换为退休收入的方法，以满足退休人员的实际和感知需求，并通过确保个人可以舒适地退休而不耗尽他们的资产来造福社会。*退休收入规划对加拿大来说是一个关键问题，因为DB计划的衰落，2007/2009年金融危机的系统性失败，长期的低利率环境，以及老龄化人口的寿命不断延长。我们在退休收入制度的创新设计和风险管理方面的应用研究是及时和重要的。