Solvency assessing is a compelling issue for insurance industry, also in light of the current international risk-based regulations. Internal models have to take into account risk/profit indicators in order to provide flexible tools aimed at valuing solvency. Considering a portfolio of life annuities (as well as saving products), we deepen this topic by means of the {\em solvency ratio}, which properly captures both financial and demographic risk drivers. The analysis is carried out in accordance with a management perspective, apt to measure the business performance, which requires a correct risk control. In the case of life annuity business, assessing solvency has to be framed within a wide time horizon, where specific financial and demographic risks are realized. In this order of ideas, solvency indicators have to capture the amount of capital to cope with the impact of those risk sources over the considered period.
Life annuities portfolios: risk-adjusted valuations and suggestions on the product attractiveness / D’Amato, V.; DI LORENZO, Emilia; Orlando, A.; Sibillo, M.. - (2016). (Intervento presentato al convegno 4th Stochastic Modelling Techniques and Data Analysis International Conference and Demographic Workshop tenutosi a La Valletta, Malta nel 1-4 June 2016).
Life annuities portfolios: risk-adjusted valuations and suggestions on the product attractiveness
DI LORENZO, EMILIA;
2016
Abstract
Solvency assessing is a compelling issue for insurance industry, also in light of the current international risk-based regulations. Internal models have to take into account risk/profit indicators in order to provide flexible tools aimed at valuing solvency. Considering a portfolio of life annuities (as well as saving products), we deepen this topic by means of the {\em solvency ratio}, which properly captures both financial and demographic risk drivers. The analysis is carried out in accordance with a management perspective, apt to measure the business performance, which requires a correct risk control. In the case of life annuity business, assessing solvency has to be framed within a wide time horizon, where specific financial and demographic risks are realized. In this order of ideas, solvency indicators have to capture the amount of capital to cope with the impact of those risk sources over the considered period.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
