Life Insurance and Pensions: Latest Advances and Prospects

Dear Colleagues,

Life insurance and pension schemes have been recently exposed to new challenges and risk factors in a general environment characterized, from a financial point of view, by persistent low interest rates, volatile stock markets, and inflation shocks, and from a demographic perspective, by longevity improvement and aging. In many markets, the design of life insurance products and occupational pension schemes has changed with the development of new hybrid products based on alternative risk-sharing philosophies. These product evolutions require new valuation tools. New issues appear in the accumulation phase as well as in the decumulation phase (annuitization, tontines). New models are requested for mortality risk and its links with finance. Financial sustainability of public pension systems is also a major concern for our societies, necessitating new actuarial and financial analysis that mixes social and financial constraints such as the automatic balance mechanisms. From a more methodological perspective, new statistical methods such as machine learning, neural networks, etc., traditionally more oriented to non-life insurance, are more and more relevant for life insurance problems. Last but not least, as massive investors, life insurance and pension funds will have to integrate environmental constraints (ESG) into their strategies.

Authors are invited to submit papers that address these various design and valuation challenges for life insurance products and pension schemes (occupational and public pension schemes).

Prof. Dr. Pierre Devolder
Prof. Dr. Massimiliano Menzietti
Guest Editors

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