Financial and Actuarial Mathematics  
TU Wien, Austria  

2012-10-16  PDF  MS-Word

Einladung zur Vortragsreihe aus Finanz- und Versicherungsmathematik

Dipl.-Math. oec. Irene Schreiber

Mathematisches Institut, Ludwig-Maximilians-Universität München

Risk-Minimization for Life Insurance Liabilities

This talk is based on three papers on pricing and hedging of life-insurance liabilities by means of the well-known risk-minimization approach. One of the important features of this work is that we allow for hedging of the risk inherent in the life insurance liabilities by investing in longevity bonds representing the systematic mortality risk. In the first article we consider the case of one insured person in a very general setting regarding the underlying asset price and the structure of the insurance payment process studied, i.e. we work outside the Brownian setting, in particular the asset price may have jumps. Besides that we are able to relax certain technical assumptions such as the existence of the mortality intensity and we do not require the independence of the underlying processes. The second paper provides an extension to the case of a homogenous insurance portfolio. Main novelties of this work are that we take into account and explicitly model the basis risk that arises due to the fact that the insurance company cannot perfectly hedge its exposure by investing in a hedging instrument that is based on a longevity index, not on the insurance portfolio itself. We model the dependency between the index and the insurance portfolio by means of an affine mean-reverting diffusion process with stochastic drift. The last article considers an insurance portfolio that consists of individuals of different age cohorts or risk classes. In order to capture the cross-generational dependency structure of the portfolio we model the mortality intensities as random fields. We also provide specific applications consistent with historical mortality data and correlation structures.
[Vortragsfolien (PDF)]

Zur Person: Frau Schreiber ist seit 2009 Doktorandin am Lehrstuhl für Finanz- und Versicherungsmathematik bei Prof. Francesca Biagini an der Ludwig-Maximilians-Universität München.

Termin: Dienstag, 16. Oktober 2012, 16:30 Uhr s.t.
Ort: Technische Universität Wien
1040 Wien, Wiedner Hauptstraße 8-10
Freihaus, Turm B (gelber Bereich), 2. Stock,
Freihaus Hörsaal 3

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Mag. Christoph Krischanitz
Präsident der Aktuarvereinigung Österreichs
Präsident des Österreichischen Förderungsvereins der Versicherungsmathematik

Dr. Franz Kronsteiner
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen

o.Univ.-Prof. Dr. Walter Schachermayer
Fakultät für Mathematik, Universität Wien

Univ.-Prof. Dr. Thorsten Rheinländer
Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien