This paper provides a stochastic model, consistent with Solvency II and the Delegated Regulation, to quantify the capital requirement for demographic risk. In particular, we present a framework that models idiosyncratic and trend risks exploiting a risk theory approach in which results are obtained analytically. We apply the model to non-participating policies and quantify the Solvency Capital Requirement for the aforementioned risks in different time horizons.

Clemente, G. P., Della Corte, F., Savelli, N., A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components, <<ANNALS OF ACTUARIAL SCIENCE (PRINT)>>, N/A; (N/A): 1-20. [doi:10.1017/S174849952200015X] [http://hdl.handle.net/10807/217184]

A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components

Clemente, Gian Paolo
Primo
;
Della Corte, Francesco
;
Savelli, Nino
2022

Abstract

This paper provides a stochastic model, consistent with Solvency II and the Delegated Regulation, to quantify the capital requirement for demographic risk. In particular, we present a framework that models idiosyncratic and trend risks exploiting a risk theory approach in which results are obtained analytically. We apply the model to non-participating policies and quantify the Solvency Capital Requirement for the aforementioned risks in different time horizons.
2022
Inglese
Clemente, G. P., Della Corte, F., Savelli, N., A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components, <<ANNALS OF ACTUARIAL SCIENCE (PRINT)>>, N/A; (N/A): 1-20. [doi:10.1017/S174849952200015X] [http://hdl.handle.net/10807/217184]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/217184
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