Gio, 12/13/2018 - 16:00 / 17:30
205A, Viale Romania, 32
Speaker: Enrico Biffis , Imperial College London
We study how the design of options and guarantees can shape the exposure to mortality/longevity risk in life insurance contracts. We develop a model of selective withdrawals driven by exogenous and endogenous factors, offering insights into traditional approaches to the analysis of surrender guarantees and dynamic adverse selection. We show how the mortality risk profile of policyholders can be represented in terms of a frailty process shaped by the relative attractiveness of different contract benefits in different states of the world. We then outline some applications to pricing and optimal contract design, as well as testing for dynamic adverse selection. This is joint work with Davide Benedetti.