Tid: 13 april 2015 kl 15.15-16.00.

Föredragshållare: Marcus Christiansen

Titel: Dynamics of solvency risk in life insurance liabilities

Abstract Modern solvency risk management is a continuous effort based on monitoring of risks and reacting timely when necessary. This motivates to take a dynamic perspective within a time-continuous framework. We describe the time dynamics of the solvency level of life insurance contracts by representing the solvency level and the underlying risk sources as the solution of a stochastic forward-backward system. This leads to an additive decomposition of the total solvency level with respect to time and different risk sources. The decomposition turns out to be an intuitive tool to study risk sensitivities. We study two methods to obtain explicit representations: via linear partial differential equations and via a Monte Carlo method based on Malliavin calculus. The forward-backward system provides the groundwork for stochastic control with solvency level objectives. We will give an outlook on interesting yet unsolved control problems.

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