Forming a view on what the tail looks like for the various risks faced by life insurance companies involves both technical know-how and considerable judgment. The presenters will focus on what needs to be addressed when setting financial market risk and insurance risk assumptions. Then they will move on to assessing the question of diversification and the treatment of tail dependencies between risks and lines of business:
How do we set correlations/relationships in the tail?
How are things related to a 1-in-200 level? What does 1-in-200 really mean, and how do you arrive at assumptions at that level?
Has COVID-19 made us re-think our assessment of tail risk?
At the conclusion of this session, attendees will understand the challenges of setting assumptions in the tail of distributions, with some insights into practical approaches to setting these assumptions.