Aim of the paper is the analysis of the behaviour of risk filters connected to the demographic risk drivers for a portfolio of life annuities. The model, easily suitable to the rase of pension annuities, involves the evolution in time of the mortality rates, taking into account the randomness of the financial scenario. Within this context, the uncertainty in the choice of the deiriograpllic scenario is measured and the analysis is also supported by the VaR sensitivity to this risk source.
Measuring demographic uncertainty via actuarial indexes / DI LORENZO, Emilia; A., Orlando; M., Sibillo; Coppola, Mariarosaria. - (2007), pp. 122-129. (Intervento presentato al convegno 12th Internatinal Conference on Applied Stochastic Models and Data Analysis tenutosi a Chania- Creta- Grecia nel 29 maggio- 1 giugno 2007) [10.1142/9789812709691_0015].
Measuring demographic uncertainty via actuarial indexes
DI LORENZO, EMILIA;COPPOLA, MARIAROSARIA
2007
Abstract
Aim of the paper is the analysis of the behaviour of risk filters connected to the demographic risk drivers for a portfolio of life annuities. The model, easily suitable to the rase of pension annuities, involves the evolution in time of the mortality rates, taking into account the randomness of the financial scenario. Within this context, the uncertainty in the choice of the deiriograpllic scenario is measured and the analysis is also supported by the VaR sensitivity to this risk source.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.