Asset-liability management for long-term insurance business

  • Hansjörg Albrecher
  • Daniel Bauer
  • Paul Embrechts
  • Damir Filipović
  • Pablo Koch-Medina
  • Ralf Korn
  • Stéphane Loisel
  • Antoon Pelsser
  • Frank Schiller
  • Hato Schmeiser
  • Joël Wagner
Original Research Paper
  • 4 Downloads

Abstract

This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2017. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss past and current developments as well as future perspectives in dealing with asset-liability management for long-term insurance business. Topics include valuation, innovations in insurance products, investment, and modelling aspects.

Notes

Acknowledgements

We thank Stephan Schreckenberg for suggesting the format of the conference, and for his critical and active support in the creation of the Swiss Risk and Insurance Forum. We thank all participants for the stimulating and lively discussion: Albrecher Hansjörg, University of Lausanne; Bailly Alexis, Moody’s Analytics; Daniel Bauer, University of Alabama; Embrechts Paul, ETH Zurich and Swiss Finance Institute; Filipovic Damir, EPFL and Swiss Finance Institute; Germann Hansjörg, Zurich Insurance; Grützner Guido, QuantAkt; Guerin Jean-Francois, Swiss Life; Harrison Glenn, Georgia State University; Jäger Jan, Swiss Re; Jaschke Stefan, Infinada; Joos Pierre, Allianz; Jorgensen Peter Lochte, University of Aarhus; Kalberer Tigran, Milliman; Keller Philipp, Deloitte; Koch Pablo, University of Zurich; Korn Ralf, TU Kaiserslautern; Kunz Andreas, Munich Re; Leukert Renate, Swiss Re; Loisel Stéphane, Université Lyon 1; Moeller Thomas, PFA and University of Copenhagen; Pelsser Antoon, Maastricht University; Popp Markus, Munich Re; Schätti Guido, Swiss Re; Schiller Frank, Munich Re; Schmeiser Hato, University of St. Gallen; Schmutz Michael, Finma and University of Bern; Schreckenberg Stephan, Swiss Re; Singh Raj, Standard Life; Smith Andrew, Deloitte; Steiger Gallus, Swiss Re; Tommasina Tancredi, Swiss Life; Wagner Joël, University of Lausanne; Weber Frank, PwC; Werner Ralf, University of Augsburg; Wilson Tom, Allianz. The Swiss Risk and Insurance Forum 2017 received financial support from Swiss Re, Swiss Life, the Swissquote Chair in Quantitative Finance at EPFL, the ETH Risk Centre and RiskLab, the Center for Finance and Insurance at the University of Zurich and the Department of Actuarial Science of the University of Lausanne.

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Copyright information

© EAJ Association 2018

Authors and Affiliations

  1. 1.Department of Actuarial Science, Faculty of Business and EconomicsUniversity of Lausanne and Swiss Finance InstituteLausanneSwitzerland
  2. 2.Culverhouse College of CommerceThe University of AlabamaTuscaloosaUS
  3. 3.RiskLab and Swiss Finance InstituteETH ZurichZurichSwitzerland
  4. 4.EPFL and Swiss Finance InstituteLausanneSwitzerland
  5. 5.Center for Finance and InsuranceUniversity of ZurichZurichSwitzerland
  6. 6.Fachbereich MathematikTechnische Universität Kaiserslautern, and Fraunhofer ITWMKaiserslauternGermany
  7. 7.Institut de Science Financiére et d’Assurances (ISFA), Laboratoire SAFUniversité Claude Bernard LyonLyonFrance
  8. 8.Maastricht UniversityNetsparThe Netherlands
  9. 9.Munich ReMunichGermany
  10. 10.Institute of Insurance EconomicsUniversity of St. GallenSt. GallenSwitzerland

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