EAA Web Session: Dependence Between Longevity and Financial Risks
4. Oktober, 09:30 - 12:45
The purpose of this web session is to revisit the valuation of some life insurance products in a financial and longevity stochastic environment with potential correlation
between these two risks. We will start from the very basic actuarial formula and present first our analysis using a simple bivariate correlated binomial model. Then, we will extend the modelization, using continuous time stochastic processes for interest rates, risky returns of investment funds and mortality intensities. Our goal is to measure the effect of eventual correlation insurance – finance on the valuation of life insurance contracts.