PhD Defense Anna Kamille Nyegaard
Title: Projections and sensitivities of life insurance liabilities
Abstract:
The topics of this thesis are projections and sensitivities, respectively, of life insurance liabilities. The first three chapters study projections of life insurance liabilities.
We consider projections of balances in with-profit life insurance, and focus on calculation of the future bonus payments of an insurance contract. The first chapter studies the inclusion of the policyholder behavior options free-policy and surrender in the projection model. The following two chapters consider the forward-backward dependence structure that arises if we let the future bonus allocation strategy depend on prospective reserves. We study both a simulation based approach and an analytical approach to handle the interdependence. The last three chapters of the thesis consider sensitivities of life insurance liabilities. Life insurance companies are exposed to systematic insurance risks if assumptions on for instance future mortality or disability rates change. We study two methods to hedge systematic insurance risks. One is natural hedging, and we describe how to construct portfolios of different insurance products where the insurance liabilities are invariant to shifts in the underlying assumptions on for instance mortality and disability rates. Next, we study de-risking strategies where we assume there exists a market for trading securities linked to for instance mortality or disability rates, and we describe the optimization problem to find the hedging strategy that minimizes systematic insurance risks. The risk margin can be considered a measure of systematic insurance risk, and lastly, we describe how to calculate the risk margin with a scenario-based model for the future Solvency Capital Requirement.
Supervisor:
Mogens Steffensen, Professor, University of Copenhagen
Assessment committee:
Jeffrey Collamore (chairperson), Professor, University of Copenhagen, Denmark
Corina Constantinescu, Professor, University of Liverpool, UK
Sascha Desmettre, Assistant Professor, Johannes Kepler University Linz, Austria