Post by Sapphire Capital on Sept 27, 2008 0:17:32 GMT 4
Solvency Requirements for Life Annuities: Some Comparisons
Annamaria Olivieri
University of Parma - Facoltà di Economia
Ermanno Pitacco
University of Trieste - Dipartimento di Matematica Applicata B. de Finetti
August 28, 2008
Abstract:
In this paper we investigate rules for assessing the capital required by a life annuity portfolio to meet mortality risks, longevity risk in particular. Risks other than mortality are disregarded. Rules which could be adopted in internal models are discussed. Then a comparison is provided with the requirement emerging from Solvency 2.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1266094_code456913.pdf?abstractid=1266094&mirid=3
Annamaria Olivieri
University of Parma - Facoltà di Economia
Ermanno Pitacco
University of Trieste - Dipartimento di Matematica Applicata B. de Finetti
August 28, 2008
Abstract:
In this paper we investigate rules for assessing the capital required by a life annuity portfolio to meet mortality risks, longevity risk in particular. Risks other than mortality are disregarded. Rules which could be adopted in internal models are discussed. Then a comparison is provided with the requirement emerging from Solvency 2.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1266094_code456913.pdf?abstractid=1266094&mirid=3