Three topics in stochastic mortality modeling and longevity risk management

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Abstract

The unexpected mortality changes observed in recent decades are posing serious concerns to the financial stability of the insurance industry and our social security system. The COVID-19 pandemic adds another layer of difficulty to this ongoing issue. In this talk, we will discuss three actuarial problems in the research area of stochastic mortality modeling and longevity risk management. First, we will explore how a Bayesian spline model can be used to generate a two-dimensional mortality improvement scale that improves the industry standards currently used by actuarial professions. Second, we will discuss how the nested simulation problem in pricing mortality securities can be eased by a green simulation method via likelihood ratio. Third, we will examine how an index-based longevity hedge can be implemented to address the socioeconomic differentials and associations in mortality for a pension plan.

Description

Bridge to Research Seminar
Wednesday, April 27
9:30am MST/AZ
WXLR A309
For those who cannot meet in person, join us via Zoom:
https://asu.zoom.us/j/81817607094?pwd=WmdBc3BGaGR3S0xUbWhuRWJHY2VrQT09

Geared to graduate students in their early years, the Bridge to Research Seminar provides an overview of different research topics presented by faculty in our school.

Speaker

Kenneth Zhou
Assistant Professor of Actuarial Science
Arizona State University

Location
WXLR A309 and virtual via Zoom