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Marcus C. Christiansen Dr.

A joint analysis of financial and biometrical risks in life insurance

Universität Rostock, 2006

Abstract: With, in recent years, a risen volatility at financial markets and an unforseen increase of life expectancies in many developed countries being observed, for an actuary the question arises which risk factors really matter in life insurance. Traditionally a life insurer covers the unsystematic biometrical risk, benefiting from a diversification effect. Driven by experiences, over the past years more and more actuaries concentrated their attention on the non-diversifiable financial risk and systematic mortality risk. This work presents two approaches for quantifying and comparing the different risk factors: First a sensitivity analysis concept, basing on a generalized gradients, in order to analyze the effect of changes of actuarial assumptions. Second a form of uncertainty analysis, for which the actuarial assumptions are modeled stochastically.

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