The paper deals with solvency assessment for life insurance business; some methodological issues concerning the solvency of life insurance companies, particularly connected to the investment risk, are suggested. Considerations about the technical equilibrium of an insurance portfolio and the financial regulation lead to a dynamic system involving risk measure and solvency assessment. Then the formal model is applied to a life annuity cohort in a stochastic context in order to exemplify the potential of the model, especially referred to the need to frame solvency assessment in a dynamic perspective.
Solvency of life insurance company: methodological issue / Cocozza, Rosa; DI LORENZO, Emilia. - In: JOURNAL OF ACTUARIAL PRACTICE. - ISSN 1064-6647. - STAMPA. - 13:1(2006), pp. 81-117.
Solvency of life insurance company: methodological issue
COCOZZA, ROSA;DI LORENZO, EMILIA
2006
Abstract
The paper deals with solvency assessment for life insurance business; some methodological issues concerning the solvency of life insurance companies, particularly connected to the investment risk, are suggested. Considerations about the technical equilibrium of an insurance portfolio and the financial regulation lead to a dynamic system involving risk measure and solvency assessment. Then the formal model is applied to a life annuity cohort in a stochastic context in order to exemplify the potential of the model, especially referred to the need to frame solvency assessment in a dynamic perspective.| File | Dimensione | Formato | |
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