Inflation Modelling: Implications for Insurers and Pension Plans

Inflation Modelling: Implications for Insurers and Pension Plans                               Supervisor: Jean-François Bégin

Fluctuation in the general price level of goods and services is reflected through the inflation rate. Despite rather small changes in the inflation rate over the past two decades, the last recession created the potential for price instability. Lately, inflation risk has become much more symmetric, and a fear that inflation may fall too low has emerged.

Insurance and pension liabilities are sensitive to unexpected inflation. Different approaches have been proposed to account for inflation in actuarial science. In this project, we will review the literature, collect data, estimate the most popular models, and investigate the financial implications of inflation.