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.
Il giorno Giovedì 12 Giugno 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna
Sabrina MULINACCI (Università di Bologna)
terrà un seminario dal titolo
"Generalizations of the Marshall-Olkin distribution: applications to contagion and systemic risk modeling"
Abstract A generalization of the Marshall-Olkin distribution is presented in order to allow for dependence among the systemic shock and the idiosyncratic shocks inducing defaults in a system. This model is used to incorporate contagion in the analysis of a set of obligors. The task will be to identify the infectious elements, to measure the degree of contagion and to allow for it in the estimation of the systemic risk.
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Giacomo Scandolo