Aspects of Controlling Life Event Risk – Københavns Universitet

Aspects of Controlling Life Event Risk

HIPERFIT TALK by Mogens Steffensen (Math/University of Copenhagen)

Life insurance and pension savings serve to compensate individuals for economic consequences of life events like dying early or living long. Financial decisions are made with the uncertain lifetime as time horizon, possibly involving preferences of heirs or, perhaps, even future generations. We discuss different aspects of preferences that formalize the quality of decisions. They include risk aversion but also the elasticity of substituting consumption between different points in time and different life events. Interesting questions concern the individual's decision power and preferences with respect to time and money spent on education, work, health improvement etc. We present some modern formalizations of these questions and discuss their impact on the design of insurance and saving products.

Mogens Steffensen is professor in life insurance mathematics at the University of Copenhagen. He has contributed to the development of market-based valuation tools in insurance, e.g. in the monograph 'Market-Valuation Methods in Life and Pension Insurance', published by Cambridge University Press. His research also covers various decision making problems, and he is recently mainly interested in mixing classical consumption-investment problems with insurance decision making. He has supervised around 80 masters in actuarial science to the Danish insurance industry and collaborates intensively with the industry in various research projects. He is member of the Accounting Committee under the Danish Actuarial Association, member of the life committee under IAA, member of the ASTIN Bulletin Management Board, associate editor of Insurance: Mathematics and Economics, editor of Scandinavian Actuarial Journal and editor-in-chief of Risks.

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