Mortality Models and Hedging of Equity-linked Life Insurance Products

Course Content

The lecture will be held in English and will discuss some papers in the field of life insurance.

The following topics will be covered:

1. Mortality modeling & longevity risk
2. Equity-linked life insurance.

The first part of the class will be about dynamic mortality models. Some relevant papers in this area are:

• Lee, R. and L. Carter (1992). Modeling and forecasting U.S. mortality, Journal of the American Statistical Association, Volume 87, 659-671.
• Brouhns, N.M. Denuit and J. Vermunt (2002).  A Poisson log-bilinear approach to the construction of projected mortality lifetables, Insurance: Mathematics and Economics, Volume 31, 373-393.
• Girosi, F., and G. King (2007) Understanding the Lee-Carter mortality forecasting method. Recuperado de http://gking.harvard.edu/files/lc.pdf (2007).
• Cairns, A. D. Blake,  and K. Dowd (2006) A two-factor model for stochastic mortality with parameter uncertainty. Theory and Calibration. The Journal of Risk and Insurance, Vol. 73, 4, 687-718.

The class will focus in particular on the Lee-Carter and the log-Poisson model.

The second topic that we will discuss is Equity-Linked Life Insurance. Some relevant papers in this area are:

• Moller, T. (2001). Hedging equity-linked life insurance contracts, North American Actuarial Journal, Volume 5, 79-95.
• Chen, A. (2008). Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies, Insurance: mathematics and economics, Volume 42, 1035–1049.

Requirements

The lecture is oriented at master students interested in insurance and actuarial science.

Course documents

All documents for the lecture can be found in moodle. So please register for the lecture in moodle.

Exam

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