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Asset-liability management for long-term insurance business

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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.

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Notes

  1. See Kupper et al. [26], Knispel et al. [22], Möhr [28], Tsanakas et al. [38], Pelsser and Stadje [32], Dhaene et al. [11], and Engsner et al. [17], among others.

  2. For more information on LTG measures and transitionals, please refer to https://eiopa.europa.eu/GuidelinesSII/EIOPA_EN_LTG_GLs.pdf and delegated act 2015/35, 2016/467, and 2016/2283 of the European Commission.

  3. A few papers propose means of increasing transparency by including restrictions on the dynamic calculation of the risk margin. For instance, Engsner et al. [17] propose to replicate shortfalls from components B and C with cash only, so that the strategy replicating component A remains “static” in the framework.

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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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Authors and Affiliations

  1. Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne and Swiss Finance Institute, Lausanne, Switzerland

    Hansjörg Albrecher & Joël Wagner

  2. Culverhouse College of Commerce, The University of Alabama, Tuscaloosa, US

    Daniel Bauer

  3. RiskLab and Swiss Finance Institute, ETH Zurich, Zurich, Switzerland

    Paul Embrechts

  4. EPFL and Swiss Finance Institute, Lausanne, Switzerland

    Damir Filipović

  5. Center for Finance and Insurance, University of Zurich, Zurich, Switzerland

    Pablo Koch-Medina

  6. Fachbereich Mathematik, Technische Universität Kaiserslautern, and Fraunhofer ITWM, Kaiserslautern, Germany

    Ralf Korn

  7. Institut de Science Financiére et d’Assurances (ISFA), Laboratoire SAF, Université Claude Bernard Lyon, Lyon, France

    Stéphane Loisel

  8. Maastricht University, Netspar, The Netherlands

    Antoon Pelsser

  9. Munich Re, Munich, Germany

    Frank Schiller

  10. Institute of Insurance Economics, University of St. Gallen, St. Gallen, Switzerland

    Hato Schmeiser

Authors
  1. Hansjörg Albrecher
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  2. Daniel Bauer
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  3. Paul Embrechts
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  4. Damir Filipović
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  5. Pablo Koch-Medina
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  6. Ralf Korn
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  7. Stéphane Loisel
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  8. Antoon Pelsser
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  9. Frank Schiller
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  10. Hato Schmeiser
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  11. Joël Wagner
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Corresponding author

Correspondence to Hansjörg Albrecher.

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Albrecher, H., Bauer, D., Embrechts, P. et al. Asset-liability management for long-term insurance business. Eur. Actuar. J. 8, 9–25 (2018). https://doi.org/10.1007/s13385-018-0167-5

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