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

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.