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EAA Seminar: Modelling and Validating Longevity under Solvency II
Mai 16-17, 2019 All Day
The European Solvency II regulations lead to significant changes within risk management of insurance companies. Under these regulations companies calculate a 99.5% Value-at-Risk over a one-year horizon using an Internal Model, or by using the Standard Formula provided by EIOPA. In this seminar we focus on modelling longevity trends and calculating longevity risk. We define longevity risk as the risk of unexpected changes in the trend underlying future mortality rates. For the simulation of mortality rates, a wide variety of stochastic models have been proposed in literature. We will discuss various aspects of mortality model specification, calibration, and application, and provide ideas and practical advice for the implementation of these models. Also examples of modelling portfolio-specific mortality and the validation of mortality models under Solvency II will be discussed.