http://www.cnr.it/ontology/cnr/individuo/prodotto/ID60290
Solvency analysis and demographic risk measures (Articolo in rivista)
- Type
- Label
- Solvency analysis and demographic risk measures (Articolo in rivista) (literal)
- Anno
- 2011-01-01T00:00:00+01:00 (literal)
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
- 10.1108/15265941111158451 (literal)
- Alternative label
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
- Coppola M.; Di Lorenzo E.; Orlando A.; Sibillo M. (literal)
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- Highly Commended Award Winner at the Literati Network Awards for Excellence 2012 (literal)
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- Rivista
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- Coppola M. Facoltà Scienze Politiche Università di Napoli Federico II
Di Lorenzo E. Facoltà di Economia Università di Napoli Federico II
Sibillo M. Facoltà di Economia Università di Salerno (literal)
- Titolo
- Solvency analysis and demographic risk measures (literal)
- Abstract
- The demographic risk is the risk due to the uncertainty in the demographic scenario assumptions by which life insurance products are designed and valued. The uncertainty lies both in the accidental (insurance risk) and systematic (longevity risk) deviations of the number of deaths from the value anticipated for it. This last component gives rise to the risk due to the randomness in the choice of the survival model for valuations.(model risk or projection risk). If the insurance risk component can be assumed negligible for well-diversified portfolios, as in the case of pension annuities, longevity risk is crucial in the actuarial valuations. The question is partcularly decisive in contexts in which the longevity phenomenon of the population is strong and pension annuitity portfolios constitute a meaningful slice of the financial market-both typical elements of Western economies. The paper aims to focus on the solvancy appraisal for a portfolio of life annuities, deepening the impact of the demographic risk according to suitable risk indexes apt to describe its evolution int time. (literal)
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