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/

Legg igjen en kommentar