There is considerable uncertainty regarding the future development of life expectancy that leads to significant change in many fields of insurance market. Pricing annuity products and mortality-linked securities seem primary goals of actuarial literature. At the same time, the valuation of non-hedgeable liabilities (as technical provisions for contracts where risk is not entirely borne by the policyholders) and the capital requirement appear very important issues in Solvency II framework. In this context, we propose a model based on Risk Theory in order to evaluate the capital requirement for mortality and longevity risk. We assume a life portfolio characterized by traditional and with-pro fit products divided in several homogeneous generations of contracts. Each cohort includes equal contracts that diff er only by the insured sum with the aim to consider the e ffect of variability coeffi cient. Some assumptions allow to obtain closed formulae for the exact characteristics of demographic profi t distribution regardless of contract types (i.e either with survival or death bene ts). Furthermore Monte-Carlo methods provide the simulated distribution of mortality and longevity pro fit for each generation. Some case studies show the moments and the capital requirements for different life portfolios. Finally, further research will regard both the aggregation eff ect between several generations and a valuation of liabilities consistent to Solvency II context.

Savelli, N., Clemente, G. P., A Risk-Theory Model to Assess the Capital Requirement for Mortality and Longevity Risk (Restricted Version), in MODELLI PER LA VALUTAZIONE DEL RISCHIOIN AMBITO ASSICURATIVO, (Tropea, 16-18 September 2010), Centro Editoriale Toscano, Firenze 2010: 115-122 [http://hdl.handle.net/10807/31735]

A Risk-Theory Model to Assess the Capital Requirement for Mortality and Longevity Risk (Restricted Version)

Savelli, Nino;Clemente, Gian Paolo
2010

Abstract

There is considerable uncertainty regarding the future development of life expectancy that leads to significant change in many fields of insurance market. Pricing annuity products and mortality-linked securities seem primary goals of actuarial literature. At the same time, the valuation of non-hedgeable liabilities (as technical provisions for contracts where risk is not entirely borne by the policyholders) and the capital requirement appear very important issues in Solvency II framework. In this context, we propose a model based on Risk Theory in order to evaluate the capital requirement for mortality and longevity risk. We assume a life portfolio characterized by traditional and with-pro fit products divided in several homogeneous generations of contracts. Each cohort includes equal contracts that diff er only by the insured sum with the aim to consider the e ffect of variability coeffi cient. Some assumptions allow to obtain closed formulae for the exact characteristics of demographic profi t distribution regardless of contract types (i.e either with survival or death bene ts). Furthermore Monte-Carlo methods provide the simulated distribution of mortality and longevity pro fit for each generation. Some case studies show the moments and the capital requirements for different life portfolios. Finally, further research will regard both the aggregation eff ect between several generations and a valuation of liabilities consistent to Solvency II context.
Inglese
MODELLI PER LA VALUTAZIONE DEL RISCHIO IN AMBITO ASSICURATIVO
“Risk Evaluation Models for the Solvency of Insurance Companies and Pension Funds – (PRIN 2007)”
Tropea
16-set-2010
18-set-2010
88-7957-337-3
Centro Editoriale Toscano
Savelli, N., Clemente, G. P., A Risk-Theory Model to Assess the Capital Requirement for Mortality and Longevity Risk (Restricted Version), in MODELLI PER LA VALUTAZIONE DEL RISCHIOIN AMBITO ASSICURATIVO, (Tropea, 16-18 September 2010), Centro Editoriale Toscano, Firenze 2010: 115-122 [http://hdl.handle.net/10807/31735]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/31735
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