Stochastic multi-population mortality models for life insurers and pension funds
Calibration, scenario generation and the impact of COVID-19
Workshop at Reykjavik University March 7-8
See also the open lecture on actuarial learning for mortality rates.
The one-and-a-half day workshop on Stochastic multi-population mortality models for life insurers and pension fundsis divided into five modules, each one covering a distinct topic related to mortaly models as well as case studies.
Reykjavík University and the Association of Actuaries organize this event.
Register
March 7
1pm to 4.30pm
Room U201
- Module 1 (45min) on basics of mortality modeling, by Katrien
- Covers: mortality rates, mortality tables, period view, cohort view, need for projections, closing period mortality tables, life expectancy and other demographic indicators, some visualizations (Be, NL, Iceland)
- Break of 15min
- Module 2 (1h) by Katrien on introducing stochastic mortality models for single populations and outlook to multiple populations
- Covers: why a stochastic model, Lee & Carter model specification, identification, calibration, LifeMetrics models (including CBD), pros and cons, time series dynamics, generating scenarios for future mortality rates
- Break of 15min
- Case on Lee & Carter (45min), in Excel, by Michel
- Wrap-up of day 1
March 8
9am
Room U201
Morning from 9.00 am till noon
- Module 2 (cont'd and wrap up) (30min) on multi-population mortality models, calibration and projection strategies by Michel
- Module 3 (1h) on KAG multi-population mortality model by Michel
- Break of 15min
- Module 4 (30min) on COVID impact by Michel
- Introduce case (15min) on XXX by Wilbert
Lunch
Afternoon from 1.00pm on to 3:30pm
- Module 5 (45min) on portfolio-specific mortality by Katrien
- Break of 15min
- Module 6 (45min) on SII, risk management by Wilbert
- Case/illustration (45min) for Icelandic population
- Wrap-up
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.
