Centro de Documentacion de Fundación MAPFRE - Longevity projections : incorporating sample and population information through the modelization of differences in common sample points

MAP20200033608

Longevity projections : incorporating sample and population information through the modelization of differences in common sample points / by Natalia Salazar Vesga. — Madrid : Universidad Carlos III de Madrid, 2020

Trabajo Fin de Master del Master en Ciencias Actuariales y Financieras de la Escuela de Postgrado de la Universidad Carlos III de Madrid. Tutores: José Miguel Rodríguez-Pardo del Castillo y Jesús Ramón Simón del Potro. Curso 2018-2020

Sumario: Projecting and understanding longevity has always been a major concern for both de- mographers and insurance companies. Having reliable projections of the mortality pat- terns at a country level allows governments to structure their pension schemes and public healthcare policies, and at a sample level, assists companies with the pricing of their life- insurance products as well as with the calculation of their Solvency Capital Requirement (SCR). Understanding mortality at a company level is not an easy task, due to the lack of a large series of data, the most common mortality projection models can not be ap- plied. This is the reason why insurers make use of more pragmatic approaches, generally at the cost of imposing safety margins on their estimations and overestimating death probabilities, which results in a higher cost of solvency capital and lower profitability for the business at hand. This document aims to explore a way in which population mortality models can be adapted to forecast the behavior of the insured population introducing a correction in the forecast of the general population that stems from the modelization of the differences between the two aforementioned groups

1. Longevidad . 2. Proyecciones demográficas . 3. Seguro de vida . 4. Modelos actuariales . 5. Empresas de seguros . 6. Margen de solvencia . 7. Rentabilidad . 8. Modelos probabílisticos . 9. Ageingnomics. Economia senior . I. Rodríguez-Pardo del Castillo, José Miguel . II. Simón del Potro, Jesús Ramón . III. Universidad Carlos III de Madrid . IV. Trabajos Fin de Master . V. Title.