The paper considers a model for a homogeneous portfolio of a whole life annuities immediate. The aim is to study two risk factors: the investment risk and the insurance risk. A stochastic model of the rate of return is used to study these risk factors. Measures of the insurance risk and of the investment risk for the entire portfolio are suggested. The problem of the longevity risk is presented, and its consequences with different projections of the mortality tables are analyzed. The model is applied to some concrete cases, and several illustrations show the importance of the two components of the riskiness in terms of the number of policies in the portfolio. Understanding these risks will allow insurance companies to control, to some extent, the overall risk of thei annuity portfolios.

Risk Sources in a Life Annuity Portfolio: Decomposition and measurement tools / DI LORENZO, Emilia; Sibillo, M.; Coppola, Mariarosaria. - In: JOURNAL OF ACTUARIAL PRACTICE. - ISSN 1064-6647. - STAMPA. - 8:(2000), pp. 43-61.

Risk Sources in a Life Annuity Portfolio: Decomposition and measurement tools

DI LORENZO, EMILIA;COPPOLA, MARIAROSARIA
2000

Abstract

The paper considers a model for a homogeneous portfolio of a whole life annuities immediate. The aim is to study two risk factors: the investment risk and the insurance risk. A stochastic model of the rate of return is used to study these risk factors. Measures of the insurance risk and of the investment risk for the entire portfolio are suggested. The problem of the longevity risk is presented, and its consequences with different projections of the mortality tables are analyzed. The model is applied to some concrete cases, and several illustrations show the importance of the two components of the riskiness in terms of the number of policies in the portfolio. Understanding these risks will allow insurance companies to control, to some extent, the overall risk of thei annuity portfolios.
2000
Risk Sources in a Life Annuity Portfolio: Decomposition and measurement tools / DI LORENZO, Emilia; Sibillo, M.; Coppola, Mariarosaria. - In: JOURNAL OF ACTUARIAL PRACTICE. - ISSN 1064-6647. - STAMPA. - 8:(2000), pp. 43-61.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/139516
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