Understanding the pricing models in the longevity risk value chain
The aim of this internship is to understand the pricing models of different classes of market participants on the Longitude Exchange. Taking the overview of the longevity risk transfer market of Blake et al. (2018) as a start, this means researching and implementing actuarial pricing models and investors’ perspectives on longevity-linked financial instruments.
The potential size of the global longevity risk transfer market is estimated between $60 trillion and $100 trillion. In contrast, the current size of the longevity risk transfer market is only around $80 billion. To accelerate the growth of the longevity risk transfer market towards its potential, VB Risk Advisory is currently working to establish a digital marketplace for longevity risk: Longitude Exchange, an InsurTech start-up. Longitude Exchange contains various longevity modelling and analysis tools that can price and trade longevity risks.
The purpose of the Longitude Exchange is to be an intermediary, for which a better understanding of how different participants in the longevity risk value chain price index-based (but also indemnity) longevity structures is required. The longevity risk value chain consists of pension funds, life insurers, (life and general) reinsurers, and capital market investors. Each link has factors that determine its view on pricing longevity-linked financial instruments. For pension funds, the price is mainly impacted by Asset and Liability Management (ALM), plan sponsors, risk policies, and funding level. At the same time, the capital regime mostly steers reinsurers and life insurers they fall under, for example, the EU (Solvency II), US, UK, Bermuda (BSCR) or Switzerland (SST). The pricing drivers for investors are mainly funding investment strategy, client investment horizon, and target return.
Our Mission and Vision
Our mission is to treat our consultants as our most important asset. We provide them with the best training possible to become the next generation of quants. They take a flexible and pragmatic approach to delivering high-quality advisory services. As a result, we solve our clients’ challenges by implementing sustainable solutions in quantitative risk management that help them achieve their goals.
Our vision is to be known for providing clients with exceptional quantitative solutions and to be recognised for our excellent consultants while being a unique employer valued by its employees for focusing on their personal development and happiness.
What We Offer
• The possibility of writing your thesis under experienced supervision in a dynamic environment
• Compensation at market rate
• Reimbursement of travel expenses
• Flexibility in terms of working hours and -location
• A consultant mentor, a dedicated supervisor with academic experience, and experienced management review to ensure the practical applicability of the research.
What You Offer
• Quantitative academic education (MSc Student) in a relevant field, like econometrics, mathematics, or actuarial science.
• Experience in advanced programming languages (Python is a must, experience with GIT is a plus) and an interest in working with large datasets.
• Flexible, proactive, and positive attitude.
• Accuracy, problem-solving, decision-making and the ability to work independently with tight deadlines are also required.
• Strong affinity with Quantitative Models of Finance, Actuarial risk, and Data.
• Available for 3 to 6 months
• Well-versed in English; Dutch is a plus
Hours per Week
32—40, depending on your preference. This includes time to write your thesis.Apply by email