The paper considers a portfolio of life annuities: the importance of insurance risk in a similar portfolio is pointed out through the so called longevity risk. It concerns a model that allows the control of investment and insurance risks for a similar portfolio, when the behaviour of the global rate of return is modeled considering that the deviations of the real rate from its anticipated values are described by an Ornstein Uhlenbeck process. The paper is a study of the risk of an annuity portfolio in order to divided it in an investment risk and an insurance risk, and to control them by means of the variability measures of the expected value of the life annuities portfolio, with respect to each of these two components, related to the number of policies in portfolio and to the projection of mortality considered.
Investment risk and longevity risk in a life annuity portfolio / Coppola, Mariarosaria; DI LORENZO, Emilia; M., Sibillo. - STAMPA. - (2001), pp. 551-567.
Investment risk and longevity risk in a life annuity portfolio
COPPOLA, MARIAROSARIA;DI LORENZO, EMILIA;
2001
Abstract
The paper considers a portfolio of life annuities: the importance of insurance risk in a similar portfolio is pointed out through the so called longevity risk. It concerns a model that allows the control of investment and insurance risks for a similar portfolio, when the behaviour of the global rate of return is modeled considering that the deviations of the real rate from its anticipated values are described by an Ornstein Uhlenbeck process. The paper is a study of the risk of an annuity portfolio in order to divided it in an investment risk and an insurance risk, and to control them by means of the variability measures of the expected value of the life annuities portfolio, with respect to each of these two components, related to the number of policies in portfolio and to the projection of mortality considered.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
