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SUMMARY:Exploring the Dependence between Mortality and Market Risks
DTSTART:20160122T120000
DTEND:20160122T130000
DTSTAMP:20260407T101232Z
UID:f4cac8eede18604ed81f18c40efa83beaf6b6c5620a8d2f580426270
CATEGORIES:Conferences - Seminars
DESCRIPTION:Michel DACOROGNA (SCOR SE\, Switzerland)\nThe issue of depende
 nce between risks is essential to assess the solvency of an insurance comp
 any. For life insurance in particular\, a pandemic outbreak combined with 
 a financial crisis could mean the end of its operations. Thus\, it is impo
 rtant to assess the possible dependence between mortality and market risks
 . Dependence between those two risks is known to be small during normal ti
 me. However\, it is expected to be strong in case of pandemic or major dis
 ruption of the life expectancy. Unfortunately\, we do not have much empiri
 cal data to support such a calibration. Almost by definition\, we will nev
 er have enough data at our disposal in the extremes. It is for answering t
 his dilemma that we develop a statistical approach to explore empirically 
 the dependence between risks in the extremes. We apply it to study the dep
 endence between mortality and market risks. With data for 6 developed coun
 tries\, extending over 80 years\, we pick the worst 10 years of mortality 
 and compare the average returns achieved by both financial and economic in
 dicators during these years to their whole sample averages. We observe a r
 eduction of the performance of some financial variables as well as an incr
 ease in correlation\, but the effect remains weak and difficult to assess 
 statistically. The economic variables seem less affected by the bad years 
 of mortality since they do not correspond to real pandemic outbreaks\, whi
 ch are absent from our sample. This\, of course\, limits our ability to ex
 plore very extreme events and their influence on economic variables that s
 hould according to all theoretical model very significant. Nevertheless\, 
 for financial indicators\, we perform various statistical tests that all p
 oint out to a weak but real effect. Joint work with Meitner Cadena (UPMC &
  CREAR-ESSEC Paris\, France).
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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