New paper on mis-estimation risk

The British Actuarial Journal (BAJ) today published an article on mis-estimation risk viewed through the value-at-risk (VaR) framework for Solvency II.  The methodology described is used to set capital requirements for annuities and pensions business where there is uncertainty over the current level mortality.  The article is open-access and can be viewed or downloaded at

The above paper builds on a closely related approach to assessing run-off or pricing risk in bulk annuities and longevity swaps.  This earlier paper on pricing mis-estimation risk was also published in the BAJ and is available at

Both of these approaches to mis-estimation risk — run-off and VaR — are implemented in the Longevitas survival-modelling software.