Kategoriarkiv: Nyheter

PBSS, PEBC and IACA Webcast


When: February 28, 2017, 7:00am EST

The PBSS, PEBC and IACA invite their members to a webcast by Prof Knut Aase, (from the Norwegian School of Economics), which will be held on 28 February 2017 at 7:00AM Eastern Time  (Link to worldwide time clock)  and will run for one hour plus questions.

The paper was published in volume 46, Issue 1 of The Journal of the IAA (the ASTIN Bulletin).  Because of the quality of the paper, the PBSS committee decided to award a special prize to prof Aase.

Abstract: We analyze optimal consumption and pension insurance during the life time of a consumer using the life cycle model, when the consumer has recursive utility. The relationship between substitution of consumption and risk aversion is highlighted, and clarified by the introduction of this type of preferences. We illustrate how recursive utility can be used to explain the empirical consumption puzzle for aggregates. This indicates a plausible choice for the parameters of the utility function, relevant for the consumer in the life cycle model. Optimal life insurance is considered, as well as the portfolio choice problem related to optimal exposures in risky securities. A major finding is that it is optimal for the typical insurance buyer to smooth adverse shocks to the financial market, unlike what is implied by the conventional model. This has implications for what type of contracts the life and pension insurance industry should offer.

We recommend that you read the paper in advance of the webinar.  It is available in said ASTIN Bulletin, and is also attached to this invitation.

The web-cast will primarily draw on the following three papers, where I am the sole author:

Whilst the presentation will primarily focus on the paper described above, it will draw on the following papers:


[1] “Life Insurance and Pension Contracts I: The Time Additive Life Cycle Model.” Astin Bulletin, Volume 45(1), 2015, pp 1-47.

[2] “Recursive utility using the stochastic maximum principle”. Quantitative Economics Journal of the Econometric Society 7(3), 2016, pp 859-887.

[3] “Life Insurance and Pension Contracts II: The life cycle model with recursive utility.” Astin Bulletin, Volume 46(1), 2016, pp 71-102. The DOI for the paper is: 10.1017/asb.2015.20. It was published on First View on November 11, 2015.


Here [2] is the basic publication, which the paper [3] builds on. The talk will focus around the results of the paper [3], which is enclosed as an attachment.
We hope many of you will be able to join us on the 28th of February.
To register, please visit this URL: https://iaaevents.webex.com/iaaevents/onstage/g.php?MTID=ec73c1b0669c29d416e9d96543219c85b

Recognizing different time zones, the webcast will be recorded and available for download for those members who cannot join on February 28.

Please note that this webinar is free for members of the PBSS and IACA Sections or the Pensions and Employee Benefits Committee.  If you are not a member of one of these sections or committee, you will need to pay a registration fee for the webinar. The webinar registration fee is equivalent to the section’s annual membership fee ($50 Canadian). Joining will allow you to participate in all sponsored webinars until the end of 2017. To join the PBSS or IACA section, please click here : https://www.actuaries.org/merchandise/section/

30th International Summer School of the Swiss Association of Actuaries 2017

Den sveitsiske aktuarforeningen har åpnet registrering til den 30. «International Summer School of the Swiss Association of Actuaries».

Temaet for arrangementet vil være «Insurance Management: Trends, Challenges and Solutions», og arrangementet vil finne sted i Lausanne fra den 6. til den 9. juni 2017.

Nærmere informasjon om arrangementet kan finnes her.

ICA 2018 nyhetsbrev

Den internasjonale kongressen for aktuarer (ICA) vil bli avholdt i Berlin i 2018. Arrangementskomiteen har nå utsendt et nyhetbrev, hvorav tekst hitsettes:

«The new year has started and we are working at full capacity to release our 1st Announcement, including the call for papers, as well as other relevant detailed information on the ICA 2018, within the next two weeks. Our special edition newsletter will inform you when our 1st Announcement is published online. Watch this space!

In the meantime, we recommend the January edition of our ICA 2018 newsletter, featuring news on the limited attendance experiences and the excursions on Tuesday and Thursday afternoon.»

Nyhetbrevet i sin helhet kan lese her.

Foiler fra fagkomité liv/pensjon sitt seminar 24.11.2016

Fagkomité liv/pensjon avhold den 24. november 2016 et seminar om «Lengre levetid og ny uførevirkelighet».

Følgende tema ble fremført:

  • Rikard Bergström om «Livslängd och dödlighet för svenska befolkningen och svenska försäkrade», som kan finnes her.
  • Michael Graff «Norsk dødelighet – Risk data», som kan finnes her.
  • Helene Ytterborg om «Utvikling i tidligpensjon i folketrygden, AFP offentlig og privat», som kan finnes her.
  • Jostein Ellingsen om «Utvikling knyttet til uføretrygd herunder unge uføre», som kan finnes her.
  • Olav Chen om «Når kommer renteoppgangen – hvis den kommer?», som kan finnes her (del 1 og del 2).
  • Bjørn Skogstad Aamo om «Læring fra kriser», som kan finnes her.
  • Pål Lillevold om «Hva kjennetegner norske pensjonskasser? Hva er sannsynlig tilpasning til høyere kapitalkrav?», som kan finnes her.