Event Paper: Mortality from Modeling to Pricing: Challenges and Solutions

Raj Kumari Bahl

University of Edinburgh

(Ph.D. funded by IFoA & UoE)

Pensions, Risk and Investment Conference 2016 with AFIR/ERM

Institute and Faculty of Actuaries

May 5, 2016

• Introduction
• Historical Facts
• The Problem
• Available Methodologies
• Case Study: Swiss Re Mortality Bond 2003
• A Model-independent Approach
• Lower Bound for the Swiss Re Bond
• Upper Bound for the Swiss Re Bond
• Numerical Results
• What Lies Ahead?
• Further Research
• The Modeling Aspect