Peter Hieber, ISBA-UCL

 Consistently modeling unisex mortality rates

  Abstract:

In 2012, the European Court of Justice made clear that gender equality is a fundamental right in the European Union and asserted that this right also applies to insurance contracts. This statement has a profound impact on life insurance pricing where the differences in life expectancy have naturally led to different insurance premia for men and women. While insurance companies might still want to use male/female mortality models in their risk management, they need to derive their contract premiums using unisex mortality assumptions. In this talk, we derive unisex mortality models that are consistent with the (given) male/female mortality models. A unisex mortality model exposes insurance companies to mainly two risks: The uncertainty of the male/female mortality and the uncertainty in the (future) proportion of males and females in their portfolio. We focus on mortality models that allow us to separately model systematic (e.g. longevity risk) and unsystematic (=diversifiable) mortality risks.

This seminar is organized in the framework of the PDR ULB-UCL :
""Risk Management and Pricing in Finance and Insurance""