Actuarial learning for mortality rates: challenges, contributions and implications for industry and policymakers

Key insights from a long-term partnership between academia and industry

  • 7.3.2023, 8:30 - 10:30

Open lecture at Reykjavik University March 7, room M104 at 8:30p.m.-10:30p.m. Reykjavík University and the Association of Actuaries organize this event.

Fyrirlesturinn fjallar um uppbyggingu og þróun líkana dánartíðni fyrir Belgíu og Holland, sem eru mikilvæg til að meta skuldbindingar líftryggingafélaga og lífeyrissjóða. Líkönin voru þróuð í samstarfi fræðimanna og þeirra sem vinna í greininni. Þau byggja á sögulegri og nýlegri dánartíðni í löndum Evrópu. Í fyrirlestrinum er einnig fjallað um áhættu hollenskra vátryggingafélaga af langlífi og nýlegum aðferðum til að bregðast við henni, sem og áframhaldandi umræðu um sjálfbærni hollenska lífeyriskerfisins og væntanlegar breytingar á annarri stoð þess. Fyrirlesturinn gefur gott yfirlit um þróun og áhrif dánartíðni á líftryggingar og lífeyrissjóði í Belgíu og Hollandi.

The lecture will focus on the development and evolution of stochastic mortality models in the Netherlands and Belgium, which are essential for the valuation of liabilities of life insurance companies and pension funds. The partnership between academia and industry is crucial in developing and updating these models, which take into account historical and recent trends in mortality rates and life expectancy.

The Royal Dutch Actuarial Association (KAG) developed a state-of-the-art stochastic multi-population mortality model in 2014, which was adapted by the Institute of Actuaries in Belgium (IA|BE) in 2015. These models are reviewed, recalibrated, and updated every two years by a committee that combines academic members and actuarial professionals from insurance companies and pension funds.

The lecture will also provide insights into the exposure of Dutch insurance companies to longevity risk, which is the risk that policyholders will live longer than expected. The recent transaction of Aegon reinsuring the longevity exposure of 257,341 Dutch pension insurance contracts with Reinsurance Group of America at the end of 2021 will be discussed.

The ongoing debate on the sustainability of the Dutch pension system will also be highlighted in the lecture. The major upcoming change in the second pillar of the Dutch pension system from a collective system with defined benefits to a collective defined contribution scheme will be discussed, and the impact of this change on the industry will be explored.

Overall, the lecture will provide a comprehensive overview of the development and evolution of stochastic mortality models in the Netherlands and Belgium, and the impact of these models on the life insurance and pension industry.

Hér má horfa á fyrirlesturinn á Zoom / Whats the lecture on Zoom

Bio Speakers:

Prof. dr. Katrien Antonio is professor in actuarial data science at KU Leuven (Belgium) and the University of Amsterdam (the Netherlands). Katrien's research covers insurance data science methods for pricing, reserving and mortality modelling. She is the program director of the MSc in Actuarial and Financial Engineering at KU Leuven, and currently serves as vice-dean for education at the Faculty of Economics and Business at KU Leuven. In 2014 Katrien was a member of the working group of the Dutch Royal Actuarial Association that developed the stochastic mortality model for the Netherlands. She was also the lead researcher in charge of the 2015 Belgian mortality projection, published by the Institute of Actuaries in Belgium, and its update published in November 2020.

Wilbert Ouburg is currently CRO of Nationale Nederlanden Life & Pensions and previously held the position of Head of Risk Management at the same company, part of NN Group. He studied both Mathematics (Utrecht University) and Actuarial Science & Mathematical Finance (University of Amsterdam), and followed a post-graduate teaching programme in mathematics. His master's thesis on Bayesian mortality modelling was awarded the Netspar thesis award. He is a board member of the Royal Dutch Actuarial Society and a Financial Risk Manager at the Global Association of Risk Professionals. Over the last years Wilbert was chair of the AG2018 work group of the Dutch Actuarial Association, that published a stochastic mortality model for the Dutch population.

Prof. dr. Michel Vellekoop is full professor in the Actuarial Sciences and Mathematical Finance group at the University of Amsterdam. He studied Applied Mathematics at the University of Twente and obtained his PhD. degree in 1998 at Imperial College in London for research on nonlinear filtering problems for stochastic processes. Since then, he has focused on applications in finance and insurance, both as an academic and as director of research for the Derivatives Technology Foundation. His main interests are valuation and risk management problems for contingent claims in complete as well as incomplete markets. He is the former vice-chair and current scientific advisor for the committee of the Dutch Actuarial Association which is responsible for the Dutch stochastic mortality model and projections that are published in even years. In 2022 he was one of the authors of the report for the Dutch government which defines the new model to generate economic scenarios that will be used by supervising authorities in the new Dutch pension system.

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