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: $ 5.97万
• 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: 2022
• 资助国家: 加拿大
• 起止时间: 2022-01-01 至 2023-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=765762
• 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.

精算师负责数以百万计的个人投保人和养老金计划成员的财务安全。 我的研究的长期目标是融合精算科学和金融数学，为人寿保险和养老金计划中的财务担保的精算设计和管理开发改进的，创新的和可实施的模型和方法。我们的方法将得到科学和经验的验证，重点是实际应用。第一个重点领域是可变年金（VA）保险政策。VA在加拿大、美国和亚洲部分地区的退休计划中很受欢迎。VA合同看起来像共同基金投资，但具有复杂的担保，可能非常难以衡量和管理。 保险公司已经制定了复杂的部分对冲策略，他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，以便更频繁地监测风险发展，从而在需要改变方向时能够更迅速地作出反应。我们还将研究投保人如何使用保单中的期权和担保的可用数据，以确保担保满足投保人的真实的需求。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。退休收入可以通过固定收益（DB）养老金计划提供，也可以通过将流动资产（来自固定缴款计划或个人储蓄）转换为退休后的收入提供。我们将研究一些养老金设计中隐含的嵌入式期权，并开发更好的估值、对冲和负债融资方法。我们还评估设计是否符合目的。在过去的二十年里，退休计划已经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他们的资产，度过一个可能很长的退休生活。 我们将调查退休人员的态度风险，定量和定性。我们将利用这些信息设计将流动资产转换为退休收入的方法，以满足退休人员的真实的和感知的需求，并通过确保个人能够舒适地退休而使社会受益。资产耗尽。退休收入规划是加拿大的一个关键问题，继DB计划衰落、2007/9年金融危机的系统性失败之后，长期的低利率环境，以及老龄化人口的寿命增加。 我们在退休收入系统的创新设计和风险管理方面的应用研究既及时又重要。