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Global Risk Institute Funded Research Wins Actuarial Science Award

MARCH 27, 2015

 

A research paper on longevity risk funded by GRI recently won the 2014 SCOR Actuarial Award in Asia. The research paper, Parametric Mortality Indexes: From Index Construction to Hedging Strategies, by Chong It Tan, Jackie Li, Johnny Siu-Hang Li and Uditha Balasooriya addresses the issue of transferring longevity risk to capital markets.

With life expectancies increasing steadily each decade, mortality improvements are posing longevity risks to the public and private sectors. This research addresses this issue and aims to help pension funds and insurers to transfer longevity risk to capital markets.

The work is part of GRI’s Risk Sharing Challenges in Insurance and Pensions research stream. The authors investigate how indices are constructed and propose standardized securities that will enable a pension plan to hedge its exposure to longevity risk and help concentrate liquidity. The authors developed a practical hedging instrument that requires fewer securities to help funds better hedge longevity risk.

Michel Maila, GRI’s President and CEO, said: “Congratulations to the researchers on this prestigious accolade. We are pleased to be able to support ground-breaking projects such as this work by the University of Waterloo for the benefit of our members and the wider financial community.”

The SCOR Actuarial Awards recognized the practical significance of the work and its contribution to the improvement of risk management. Each year, SCOR rewards the best academic work in the field of actuarial science. The awards are highly recognized in the insurance and reinsurance industries, and winners are selected for their command of actuarial concepts, quality of analytical methods, originality and potential for application to risk management practices.