The aim of the “Milliman Paris – Sustainable Actuarial Methods and the Long-Term Stability of the Insurance Sector” research initiative is to foster research on current actuarial issues relating to insurance themes linked to sustainable development and financial stability.
Whereas pragmatism leads to the production of risk analyses with time horizons of one to five years with a very simplified framework and sometimes neglecting certain sources of risk or correlation between risks, the work carried out in the framework of this research initiative will aim to better identify potentially serious risks for an insurance company and for the industry in general, both over short time periods and over longer-term management time horizons.
The main research themes of this research initiative will address systemic risks, including those related to the use of methods for economic capital calculation and market value valuation, as well as those related to competition between insurers and the behaviour of policy holders. The common feature of this work is the potentially systemic nature of the underlying risks and the failure to take these into account, within a framework that often goes beyond the concerns of specific companies but is of major societal importance.
Other work will focus on the long-term solvency of insurance companies using risk theory tools, Enterprise Risk Management for insurance companies, information asymmetry and its consequences for insurance, longevity risk, and the updating of actuarial hypotheses.