Seminar in applied mathematics and statistics

SPEAKER: Susanna Levantesi (Dipartimento di Scienze Statistiche – Sapienza, Università di Roma).

TITLE: Natural hedging strategies in long term care insurance.

ABSTRACT:  Long term care (LTC) insurance, a product which protects insureds against future costs to be incurred due to a chronic or disabling condition, has reached a global relevance due to the increased number of elderly in the world, generating a higher demand for LTC services. In these contracts, the presence of risk elements such as the uncertainty in future disability and mortality rates exposes LTC insurers to potential unexpected losses. The development of effective risk management strategies can help insurance companies to underwrite LTC policies, resulting in lower premiums and leading to the expansion of the market.

In this talk, we will present natural hedging strategies for LTC insurers by examining the effects of portfolio diversification, which is essential for the purpose of risk management. Two approaches are proposed: one built on a multivariate duration, the other on the Conditional Value-at-Risk minimization of the unexpected loss.

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Upcoming events (after March 3):

Tuesday, March 3 at 13.15: Susanna Levantesi

Tuesday, March 3 at 14.15: Massimiliano Menzietti

Wednesday, March 18 at 15.15: Alexandre Antonov

Friday, April 17 at 13.15: Thomas S Richardson