Sumários

Stochastic mortality modelling

13 Março 2025, 18:30 Jorge Bravo


Stochastic mortality modelling

GAPC models
Case study
R Lab

Stochastic mortality modelling

10 Março 2025, 20:30 Jorge Bravo


Stochastic mortality modelling

GAPC models
Case study
R Lab

Stochastic mortality modelling

27 Fevereiro 2025, 18:30 Jorge Bravo


Stochastic mortality modelling

GAPC models
Case study
R Lab

Stochastic mortality modeling

24 Fevereiro 2025, 20:30 Jorge Bravo


1.       Stochastic mortality modeling

2.1. Basic life insurance mathematics

2.2. Period and prospective life table construction

2.3. Mortality projection methods

2.3.1.        Extrapolative methods: Parametric, Statistical (e.g., Lee-Carter, CBD models), Projection with reference to optimal and/or model life tables, Age-Period vs. Age-Period-cohort models

2.3.2.        Continuous-time stochastic mortality models (e.g. Affine jump diffusion models)

2.3.3.        Other methods: Relational models, Epidemiological methods & Projection by cause-of-death, Expert-opinion models, Micro-Macro modeling

2.4. Parameter estimation and mortality forecasting, forecast uncertainty

2.5. Forecasting Oldest-old mortality (closing life tables), graduation techniques

Background on the Longevity Risk Transfer Market

20 Fevereiro 2025, 18:30 Jorge Bravo


1.       Background on the Longevity Risk Transfer Market

1.1. Long term trends in longevity and drivers of mortality

1.2. Stakeholders in the longevity risk transfer market and market exposure

1.3. Mortality and Longevity: a Risk Management Approach

1.4. Identification: Volatility, Level & Trend uncertainty, Catastrophe Mortality/Longevity risks

1.5. Modeling and Measurement: Deterministic (Sensitivity testing, Scenario testing) vs Stochastic mortality models (Discrete vs. continuous-time models), VaR, Tail-VaR,...

1.6. Risk Management Techniques: Loss Control vs Loss Financing

1.7. Traditional Insurance and Capital Market based solutions to mortality and longevity risks