TY - JOUR
T1 - A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components
AU - Clemente, Gian Paolo
AU - Della Corte, Francesco
AU - Savelli, Nino
PY - 2022
Y1 - 2022
N2 - This paper provides a stochastic model, consistent with Solvency II and the Delegated Regulation, to quantify the capital requirement for demographic risk. In particular, we present a framework that models idiosyncratic and trend risks exploiting a risk theory approach in which results are obtained analytically. We apply the model to non-participating policies and quantify the Solvency Capital Requirement for the aforementioned risks in different time horizons.
AB - This paper provides a stochastic model, consistent with Solvency II and the Delegated Regulation, to quantify the capital requirement for demographic risk. In particular, we present a framework that models idiosyncratic and trend risks exploiting a risk theory approach in which results are obtained analytically. We apply the model to non-participating policies and quantify the Solvency Capital Requirement for the aforementioned risks in different time horizons.
KW - Life insurance
KW - Mortality & longevity risk
KW - Risk theory
KW - Solvency Capital Requirement
KW - Solvency II
KW - Life insurance
KW - Mortality & longevity risk
KW - Risk theory
KW - Solvency Capital Requirement
KW - Solvency II
UR - https://publicatt.unicatt.it/handle/10807/217184
UR - https://www.scopus.com/inward/citedby.uri?partnerID=HzOxMe3b&scp=85143653294&origin=inward
UR - https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85143653294&origin=inward
U2 - 10.1017/S174849952200015X
DO - 10.1017/S174849952200015X
M3 - Article
SN - 1748-4995
SP - 1
EP - 20
JO - ANNALS OF ACTUARIAL SCIENCE (PRINT)
JF - ANNALS OF ACTUARIAL SCIENCE (PRINT)
IS - N/A
ER -