Detralytics invites you to their event

Lunch & Learn | Participating life insurances in an equity-Libor Market Model

About this event

We invite you to participate in our next Lunch & Learn on "Participating life insurances in an equity-Libor Market Model". It's FREE and OPEN to everyone.

Given in English by our Scientific Advisor, Donatien Hainaut, this online session will take place on November 26, 2024, from 12:30 to 13:30.

Accreditation: 1 CPD | 6 PPC


Introduction

This Lunch & Learn will present the content of our Detra Note about the same topic.

This article introduces an equity-Libor Market Model (LMM) that integrates the investment strategy into the valuation process of participating life insurances. Within this framework, we consider bond portfolios rebalanced across multiple maturities and provide a semi-analytical formula for approximating the fair value of liabilities. We then investigate the impact of the investment policy on the net asset value and the solvency capital requirement. To carry out this analysis, we propose a Monte Carlo method for generating sample paths under both Libor and real measures, alongside an estimation procedure under the real measure. The numerical illustration focuses on the asset-liability management of an endowment and a life annuity.



Hosted by

  • Guest speaker
    G
    Eléonore Haguet Senior Expert – Domain Lead Finance & Life @ Detralytics France

  • Team member
    T
    Detralytics Learning

    Actuarial consulting and training firm helping companies to solve their challenges through expertise and innovation.

  • Guest speaker
    G
    Donatien Hainaut Scientific Advisor @ Detralytics

Detralytics

Consulting and training firm focused on Actuarial Science, Data Science and Risk Management

Detralytics was founded to support companies in the advancement of actuarial science and help them to solve their challenges, while offering the perfect stepping stone to the most talented actuarial students, as they will be able to evolve with our senior experts through our TAP and TCP programs.