Il giorno Giovedì 29 Maggio 2014, alle ore 14:30
presso la sede di Prometeia (sala grande, primo piano)
via G.Marconi 43, Bologna

Luca REGIS
(IMT Lucca)

terrà un seminario dal titolo

"Longevity risk modelling and hedging via continuous-time cohort models"

Abstract
Longevity risk, i.e. the risk of unexpected changes in the survivorship
of policyholders, is perceived as one of the major threats to the
long-run solvency of annuity providers, such as pension funds.

Continuous-time models represent a useful tool in the modelling of
stochastic mortality. Non-mean reverting affine cohort processes
(Luciano and Vigna, 2008) provide a parsimonious but accurate
description of mortality tables. They are particularly suited to pricing
and hedging purposes, due to their analytical tractability.

I present applications of such models to the management of insurance
portfolios. I focus on longevity risk hedging techniques, such as
natural hedging, and reinsurance strategies. I will discuss the
implementation and the effectiveness of such strategies, as well as the
effects of different risk sources (interest-rate risk, investment risk)
- along with longevity risk - on the solvency of insurers.