AFIR-ERM Webinar & Call for Research 

Join us in our upcoming webinar on: 
Target Volatility Strategies for Group Self-Annuity Portfolios

17 January 2024
10:00 CET| 18:00 JST| 20:00AEDT

While the current pandemic is causing mortality shocks globally, the management of longevity risk remains a major challenge for both individuals and institutions. It is high time there be private market solutions designed for efficient longevity risk transfer among various stakeholders such as individuals, pension funds and annuity providers. From individuals' point of view, appealing features of post-retirement solutions include stable and satisfactory benefit levels, flexibility, meeting bequest preferences and low fees. This paper proposes a dynamic target volatility strategy for group self-annuitization (GSA) schemes aimed at enhancing living benefits for pool participants. More specifically, we suggest investing GSA funds in a portfolio consisting of equity and cash, continuously rebalanced to maintain a target volatility level. The performance of a dynamic target volatility strategy is assessed against the static case which does not involve portfolio rebalancing. Benefit profiles are assessed by analysing quantiles and alternative strategies involving varying equity compositions. The case of death benefits is included, and the fund dynamics analysed by assessing resulting investment returns and the mortality credits. Overall, higher living benefit profiles are obtained under a dynamic target volatility strategy. From the analysis performed, a trade-off between the equity proportion and the impact on the lower quantile of the living benefit amount emerges, suggesting an optimal proportion of equity composition.

The AFIR-ERM Section of the International Actuarial Association (IAA) has as its primary objective the promotion of actuarial research in enterprise risk management and particularly financial risk fields, to push forward the boundaries of actuarial knowledge and to promote and facilitate an international exchange of views, advice, research and practical information among actuaries and other experts involved in these fields. The AFIR-ERM Section is thus pleased to announce research grants to fund new original research leading to a research paper on innovations in this field in general and particularly on digital innovation in actuarial science.

Proposal submissions are due by February 1, 2024 and must be submitted in the English language. Authors should submit proposals, including the title, a short description of the topic(s) to be addressed, the approach that will be taken (e.g. literature search, model, etc.), emphasizing issues that require special consideration and a statement that the research has not been published and is not being considered for publication at the moment of submission. At least one of the authors has to be a member of the AFIR-ERM Section prior to the date of the submission. 
Full details of the Call for Research and submission guidelines are available here
 
Submissions should be sent via e-mail to the AFIR-ERM Section of the IAA: AFIR.research@actuaries.org