Sustainable Life Insurance Managing Risk Appetite for Insurance Savings and Retirement Products Chapman and Hall/CRC Financial Mathematics Series

Sustainable Life Insurance: Managing Risk Appetite for Insurance Savings and Retirement Products gives an overview of all relevant aspects of traditional and non-traditional savings and retirement products from both insurers? and policyholders? respective risk appetites. Examples of such products include general accounts, whole life, annuities (variable, fixed and fixed indexed, structured), index-linked products, CPPI-based products, etc.

The book contains technical details associated with both practice and theory, specifically related to modelling, product design, investments and risk management challenges and solutions, tailored to both insurers? and policyholders? perspectives.

Features

• The book offers not only theoretical background but also concrete, cutting-edge "quick wins" across strategic and operational business axes.
• It will be an asset for professionals in the insurance industry, and a great teaching/learning resource for courses in risk management, insurance modelling, and more.
• The book highlights the operational challenges encountered across modelling, product designs and hedging.

Introduction. 1. The transformation of the Risk Appetite for Sustainable Savings and Retirement. 1.1. The transformation of the insurance business since the past decade. 1.2. Securing long-term sustainable business growth: from Governance to effective risk management. 2. Products Risk Appetite for Sustainable Savings and Retirement. 2.1. The increasingly selective customer’ Risk Appetite across the four axes: yields/flexibility/financial guarantees/cost. 2.2. Meeting both shareholders and policyholders Appetites through sustainable Capital-light products? 3. Measuring Risk Appetite for Sustainable Savings and Retirement. 3.1. Considerations on Risk-neutral vs. Real-world pricing framework. 3.2. Hybrid Financial Risks Modelling for Sustainable Savings and Retirement. 3.3. Computational challenges and opportunities: accelerating the computational Run Time by Speeding up the convergence of Monte Carlo simulations. 4. Designing Products aligned with Risk Appetite for Sustainable Savings and Retirement. 4.1. Screening sustainable opportunities balancing shareholders vs. customers’ interests within persistent low rates and growing regulatory constraints. 4.2 Sustainable Liabilities designs enhancements. 4.3 Sustainable Investment Assets designs. 5. Hedging Risks aligned with Risk Appetite for Sustainable Savings and Retirement. 5.1. Hedging principles, processes and PandL attribution. 5.2. From Dynamic hedging to Semi-static hedging. 5.3. Managing hedging liquidity constraints. Bibliography.

Aymeric Kalife has been the CEO of iDigital Partners since 2019, specializing in insurance and investment advisory while leveraging on digital technologies, and Adjunct Professor in Finance at Paris Dauphine-PSL University. He was Global Head of Savings (Risk Management, Savings Strategy) and Deputy Group Life Chief Actuary at AXA for 11 years, notably supervising the hedging platform of variable annuities ($130 billion assets under management: AuM) and contributing to reshaping the savings business across 20 entities through capital-light structuring innovations. Prior to AXA he worked for eight years in investment banking, as VP volatility strategist at Deutsche Bank, hybrids derivatives structurer at Merrill Lynch, and quant in commodities at EDF and in interest rates at ABN AMRO. His research interests are in market impact and liquidity risk for flow/structured products, fixed and variable annuities, insurance policyholders' behaviour and associated optimal product design, and environmental, social and governance (ESG) asset selection and optimal allocation, developed in a dozen academic publications and awards from the US Society of Actuaries. He holds science (statistics, probability), finance, economics and law master's degrees from Pierre and Marie Curie University/École Polytechnique, ENSAE, Sorbonne and Science Po, an MBA at HEC Paris, and a Ph.D at Paris Dauphine University and ESSEC business school.

Ludovic Goudenège has been a researcher in the French national research institute, CNRS (first class), since 2010 and a professor at École CentraleSupélec, and was a consultant in insurance at AXA Group Risk Management. He is a specialist in stochastic partial differential equations, particularly in the presence of strong or singular nonlinearities, for which he develops theoretical results on the convergence and numerical analysis of numerical schemes. He also works with the Inria MathRisk team for the development