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Longevity risk

Longevitas site - Longevitas is a consultancy specialising in longevity risk lead by Stephen Richards, an expert in lonvevity, and their site is a useful source of information on this risk

"A Value-at-Risk framework for longevity trend risk" - 2012 discussion paper by Stephen Richards, Iain Currie and Gavin Ritchie on longevity VaR over a one year timeframe

"Longevity risk and annuity pricing with the Lee-Carter model" - an interesting 2009 Actuarial profession paper by Stephen Richards and Iain Currie (2009), on longevity risk, particularly model risk and how even variants from the same family o models can give significantly different answers

"Drivers of longevity projections in particular with reference to smoking" - Staple Inn Actuarial Society (SIAS) paper, April 2008

Mortality trends - mortality trend graphs.  

 

Mortality Risk - Pandemics

 World Health Organisation Global Alert and Response site covering disease outbreaks

WHO influenza site including updates on current flu epidemics

"Responding to a UK flu pandemic: The UK Influenza Preparedness Strategy 2011" - Department of Health contingency plan including scientific evidence of influenze pandemics (replaces 2007 plan)

"Pandemic influenza:A 21st century model for mortality shocks" - 2007 Swiss Re paper setting out their approach to modelling pandemics

Society of Actuaries pandemic research:

"Potential Impact of Pandemic Influenza on the U.S. Life Insurance Industry",  Jim Toole Mary 2007

"Potential Impact of Pandemic Influenza on the U.S. Health Insurance Industry",  Jim Toole Mary 2007

"Study of the Effect of a Flu Pandemic on Insured Mortality Using the Delphi Method", Edwards et al, May 2007

"Study of the Effect of a Flu Pandemic on Economic Values Using the Delphi Method", Edwards et al, May 2007

"Influenza pandemic. The impact on an insured lives life insurance portfolio" - Society of Actuaries article by Andrea Stracke and Winfried Heinen, 2006

"Pandemic: potential insurance impacts" - Lloyd's emerging risks paper.  

"Life Catastrophe Benchmarking Study 2013" - Aon Benfield study of life and accidental death catastrophe coverage

 

General insurance - Shipping, Aviation and other Lloyd's risks

Lloyd's research page - Lloyd's conducts a range of research projects throughout the year from emerging risks to identifying opportunities in new markets

Lloyds Risk Insights page - including Lloyds Risk Index 

Lloyd's realistic disaster scenarios - Lloyd's has devised a set of realistic disaster scenarios (RDS) to stress test both individual syndicates and the market as a whole to see how they stand up to chains of accumulated exposure in very extreme cases - contemplating over $100bn of insurance industry losses

Swiss Re natural catastrophe papers. Swiss Re has been investigating questions relating to natural catastrophes for many years with an aim to better assess and manage the risks from natural disasters in the insurance industry. Findings from its catastrophe research are published for the insurance industry and all interested sectors of the general public.

"Natural catastrophe risk and the changing environment" - presentation at the Challenges in Risk Management for Insurance symposium held by the International Centre for Mathematical Sciences (ICMS) in Edinburgh, November 2007

 

Mortality Risk - Underwriting

"Underwriting - a dying art?" (Leigh, 1990) - while somewhat dated, this Actuarial profession paper gives a good overview of underwriting including the impact of when this was waived in the earlu 1980s to facilitate mortage endowment sales 

 

Persistency risk 

The FSA carried out surveys of  the persistency of life and pensions policies which may be useful for benchmrking assumptions

2012 survey

Resourcing and Talent Planning Surveys by the Chartered Institute of Personnel and Development (CIPD) include details of staff turnover rates which may be useful for benchmarking corporate pensions withdrawal rates (will need to register with the CIPD for free to access reports). 

"An underestimated risk" - article by Bruce Porteous for Credit Today, 2003 with a useful insight on persistency risk in banking

"A study of mortgage prepayments risk" - study undertaken by Simon Perry, Stuart Robinson and Rohn Rowland for the Actuarial Profession in 2001.

 

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