SMS scnews item created by Munir Hiabu at Thu 14 May 2020 1814
Type: Seminar
Distribution: World
Expiry: 21 May 2020
Calendar1: 20 May 2020 2200-2300
CalLoc1: To be advised
CalTitle1: Is Covid-19 a parallel shift of the term structure of mortality? Implications for annuity pricing
Auth: munir@119-18-2-42.771202.syd.nbn.aussiebb.net (mhia8050) in SMS-WASM

One World Actuarial Research Seminar

Is Covid-19 a parallel shift of the term structure of mortality? Implications for annuity pricing

Moshe Milevsky

Speaker: Moshe Milevsky (York University, Toronto).
Title: Is Covid-19 a parallel shift of the term structure of mortality? Implications for annuity pricing.
Date & Time: 10 pm on Wednesday 20 May 2020.

The zoom link will be available 15 minutes before the seminar on this google doc file

Abstract:
This presentation – which admittedly is rather speculative – examines the financial implications of a sudden shock to mortality on the pricing of pension & life annuities. Now, a textbook approach would suggest that holding interest rates constant, an increase in mortality reduces the discounted value of longevity-contingent claims. Stated simply, life insurance gets expensive and annuities become cheaper. However, if the shock to mortality actually weeds-out the frail and merely advances imminent deaths, then survivors will find that (counter-intuitively) annuities are suddenly dearer. Add plummeting interest rates and depressed equity markets to the mix and soon-to-be retirees might be facing an exceedingly higher "cost of retirement" post 2020. Technically speaking these matters tie into so-called compensation laws and the convergence of the term structure of (stochastic) mortality at very advanced ages. These matters also relate to the distinction between chronological age versus biological age and the relevant clock for measuring any shocks to mortality. In sum, this (conjectural) presentation speculates on how to “think” about covid-19 from the perspective of retirement income planning. One thing is for certain, the first-order independence between shocks to mortality (i.e. the insurance measure) and the economy (i.e. the financial measure) can no longer be assumed, even for textbook actuarial models.

Future talks (titles and abstracts can be found on the OWARS website):

UTC Date & Time	Check your local time	Speaker	Affiliation
20 May 12:00 PM	local time Add Google calendar Add to Outlook	Moshe Milevsky	York University, Toronto
3 Jun 3:00 PM	local time Add Google calendar Add to Outlook	Ruodo Wang	University of Waterloo