The paper focuses on the solvency analysis for a portfolio of life annuities pursued according to suitable risk indexes apt to describe the evolution in time of the demographic risk. Likewise, these risk indicators can be applied to the case of pension annuities. Although the main risk source considered in the model is the systematic randomness of the survival trend (i.e. longevity risk), the considered risk filters take into account also the interactions with other risk sources, as the randomness of the financial scenario.
Solvency appraisal for life annuities: demographic risk measures / DI LORENZO, Emilia; A., Orlando; M., Sibillo; Coppola, Mariarosaria. - (2010). (Intervento presentato al convegno 45th Actuarial Research Conference tenutosi a Simon Fraser University, Burnaby BC, Canada nel July 26-28 2010).
Solvency appraisal for life annuities: demographic risk measures
DI LORENZO, EMILIA;COPPOLA, MARIAROSARIA
2010
Abstract
The paper focuses on the solvency analysis for a portfolio of life annuities pursued according to suitable risk indexes apt to describe the evolution in time of the demographic risk. Likewise, these risk indicators can be applied to the case of pension annuities. Although the main risk source considered in the model is the systematic randomness of the survival trend (i.e. longevity risk), the considered risk filters take into account also the interactions with other risk sources, as the randomness of the financial scenario.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
