The aim of the research initiative “Milliman SAS — Sustainable Actuarial Science and Long-term Insurance Sector Stability” is to promote research on current actuarial issues, focusing on insurance topics related to sustainable development and financial stability.

Where pragmatism leads to the production of risk analyses over a period of one to five years in a very simplified framework, sometimes neglecting certain sources of risk or correlation between risks, the work carried out as part of this research initiative will aim to better identify potentially dangerous risks for an insurance company and for the sector of activity in general, over short time horizons as well as over longer term management horizons.

The first research themes of this research initiative will concern systemic risks, in particular those related to the use of economic capital calculation methods and market value valuation, as well as those related to competition between insurers and the behavior of insured persons.

The common point of this work is the potentially systemic nature of the underlying risks and their poor consideration, in a framework that often exceeds the interests of a particular company and is of great societal importance.

Other work will focus on the long-term solvency of insurance companies using risk theory tools, on Enterprise Risk Management for insurance companies, on information asymmetry and its consequences in insurance, on longevity risk, and on the updating of actuarial hypotheses.

The topics of Market Consistency and Economic Scenario Generators for insurance will also be discussed.

Collaborations with Alexandre Boumezoued, Julien Védani and Léo Tondolo will be carried out on the themes of longevity, the economic valuation of insurance liabilities and data analytics and model risk in particular. Collaboration is planned on R&D topics that will be defined jointly with the Non-Life division and the R&D division of Milliman Paris.

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