22 Giugno 2022, ore 17:00, Aula seminari 4026, Edificio U7, IV piano
Dipartimento di Statistica e Metodi Quantitativi, Università degli Studi di Milano Bicocca
| Meeting number (access code): 2740 378 2204 |
Meeting password: niUrDZVT465 (64873988 from phones)
|
Speaker: Corrado De Vecchi
Titolo: ''Robust assessment of life insurance products ''
Abstract: Survival probabilities are required in many actuarial evaluations, such as the computation of net premiums in the life insurance business. As the output of a statistical procedure, their estimation is subject to uncertainty.
In this article, we propose a robust assessment for the net premium of a standard life insurance contract with respect to the uncertainty on the estimated residual lifetime distribution function. Specifically, we provide a method to derive the range of values that the net premium of a given contract can attain when considering all residual lifetime distribution functions that satisfy an L^2 distance constraint with a reference distribution function.
The results obtained in this chapter can be used to obtain a conservative evaluation of the net premium that an insurance company should charge for a life insurance contract in order to avoid financial losses due to unexpected changes in longevity trends.
Gli interessati sono cordialmente invitati a partecipare,
Cordiali saluti,
Valeria