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:
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