Faculty of Actuarial Science & Insurance Seminar with Fabio Viviano (Università della Calabria )

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Seminar Actuarial Science insurance liabilities Linear Hypercubes

Wed, Jun 12, 2024

3 PM – 4 PM (GMT+1)

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Bayes Business School, 106 Bunhill Row
Room 2005

106 Bunhill Row, London EC1Y 8TZ, UK

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This work proposes a continuous-time joint mortality model for actuarial valuations and risk analyses of life insurance liabilities. The framework uses a common subordinator for the marginal survival processes, thus introducing a non-trivial dependence structure. We model the underlying processes using Linear Hypercubes, a new class of Itô processes whose properties have been widely discussed in the literature. As they belong to the class of polynomial processes, which extend the well-known and successful affine models, Linear Hypercubes display richer dynamics while maintaining analytical tractability. This feature enables us to derive closed-form solutions (up to the computation of a matrix exponential) for standard actuarial measures. In addition, a further peculiarity of the proposed mathematical framework is that it allows us to consider (without affecting its mathematical tractability) a stochastic evolution of interest rates and a possible dependence between mortality and financial risks. The combined joint-mortality and financial market model is then used to derive analytical pricing formulae relative to insurance contracts issued to multiple lives, such as joint-life insurance, joint-life and last-survivor annuities. We show how the proposed model provides a good fit to real data from a Canadian insurer and perform extensive numerical experiments.


Fabio Viviano is a research fellow at the Department of Economics, Statistics and Finance at the University of Calabria. He holds a PhD in Managerial and Actuarial Sciences from the University of Udine and University of Trieste, an MSc in Finance and Insurance from the University of Calabria and a BSc in Statistics for Business and Insurance from the University of Calabria. His current research interests include the fair valuation of high path-dependent options, the study of longevity and mortality risks, dependence modelling, and stochastic optimization
Dress Casual (jeans ok)


Bayes Business School, 106 Bunhill Row
Room 2005

106 Bunhill Row, London EC1Y 8TZ, UK