Longevity risk: A methodology for assessing in a Solvency II perspective

This paper considers the assessment of longevity risk in the context of a longevity indexed life annuities. The framework is set up in a way that ac- commodates a variety of regulatory regimes such as Solvency II as well as local actuarial practice, attempting to bridge the gap between academia and practice. In the following the authors compare the results obtained in a Sol- vency II perspective with those obtained with a partial internal model. The predictions contained in both models are compared with the real probabilities in order to evaluate the deviations due to life expectancy improvements.