Massimiliano Menzetti, Universita della Calabria, SC

December 10, 2019

6 hours on 2 days (10/12/2019 - 11/12/2019)

Free of Charge


ISBA - C045

Short course on
"Longevity risk in pension and disability products"
by Massimiliano Menzietti Department of Economics, Statistics and Finance University of Calabria  

Dates   10/12/2019 and 11/12/2019 at ISBA, UCLouvain

Registration Please register on-line : Registration Form

In recent decades, most developed countries have been characterized by significant improvements in longevity. In 2012, the International Monetary Fund affirmed that longevity risk was a major risk in developed countries due to its impact on social security and healthcare systems. Otherwise longevity risk also affects private organisations that offer whole life annuity benefit as insurance company and occupational pension schemes.
Many stochastic mortality models have been developed to measure longevity risk in national population but a potential divergence could be observed between the national population’s mortality and the pensioners’ mortality (basis risk). Moreover, when dealing with private pension schemes, the records available are often referred to a few years and there may be missing data.

The first goal of this course is to focus on model implication in representing the longevity risk in social security systems and in private pension schemes.
The focus will be on two aspects:  
1) modelling mortality divergences produced by different socio-economic characteristics of the insured population respect to the national one (basis risk),
2) Modelling the mortality evolution of a small population with respect to the national population’s mortality.

As previously stated, increasing longevity has also implications on health expenditure.
An older population is more exposed to morbidity and disability.
Specifically, very few models have been developed to represent the joint evolution of longevity and disability risk.
The second goal of the course will be on a proposal of a joint projection model for longevity and disability and its implication in hedging strategies.

Venue and schedule

Tuesday 10/12/2019
14h00 - 17h00
Seminar Room at ISBA : C045

Wednesday 11/12/2019
14h00 - 17h00
Seminar Room at ISBA : C045

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