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'Longevity risk and quickest detection in practice'

Detail Summary
Date 11 October 2019
Time 13:00 - 14:00
Location Roeterseilandcampus - gebouw E
Room E5.22

Abstract:

IIn this talk, we first briefly recall key features of longevity risk. Then, we explain how to detect as quickly as possible the date where that the actuarial assumptions related to longevity risk are no longer valid. The problem is stated as a quickest detection problem. We introduce the so-called cusum process and show its optimality for a generalized Lorden criterion. We explain how to design Key Risk Indicators thanks to the cusum process. We analyze its advantages and drawbacks for longevity risk monitoring, as well as for some other insurance risks. The method is illustrated on simulated and real-world case studies. This is a joint work with N. El Karoui and Y. Salhi.

 

Roeterseilandcampus - gebouw E

Room E5.22

Roetersstraat 11
1018 WB Amsterdam