Artikel
Longevity risk measurement of life annuity products
This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized by the uncertain level of the future liability compared to the initially foretasted or expected value. Herein we compute the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life annuity products. Within the Solvency II framework, we capture the mortality of policyholders by the mean of the Hull–White model. Using the numerical analysis, we identify the product that requires the most SC from an insurer and the most profitable product for a shareholder. For policyholders we identify the cheapest product by computing the premiums and the most profitable product by computing the benefit levels. We further study how sensitive the SC is with respect to some significant parameters.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-16 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
life annuity
longevity risk
risk measurement
solvency capital
- Ereignis
-
Geistige Schöpfung
- (wer)
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Diffouo, Pauline M. Ngugnie
Devolder, Pierre
- Ereignis
-
Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2020
- DOI
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doi:10.3390/risks8010031
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Diffouo, Pauline M. Ngugnie
- Devolder, Pierre
- MDPI
Entstanden
- 2020
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