Tools for the management of risks inherent in a life annuity portfolio are briefly presented following the approach suggested by risk management principles. Then we focus on some aspects of the longevity risk and the choice of a tractable modelling structure. Next solvency targers and related rules which can be adopted in internal models are defined and discussed. Sinally, some comparison between internal rules and the regulatory requirements proposed in Solvency 2 project are presented, also via numerical examples.

Solvency requirements for life annuities allowing for mortality risks: internal models versus standard formulas

PITACCO, ERMANNO
2009-01-01

Abstract

Tools for the management of risks inherent in a life annuity portfolio are briefly presented following the approach suggested by risk management principles. Then we focus on some aspects of the longevity risk and the choice of a tractable modelling structure. Next solvency targers and related rules which can be adopted in internal models are defined and discussed. Sinally, some comparison between internal rules and the regulatory requirements proposed in Solvency 2 project are presented, also via numerical examples.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11368/3130
 Avviso

Registrazione in corso di verifica.
La registrazione di questo prodotto non è ancora stata validata in ArTS.

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact