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.
A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components / Clemente, GIAN PAOLO; DELLA CORTE, Francesco; Savelli, Nino. - In: ANNALS OF ACTUARIAL SCIENCE (PRINT). - ISSN 1748-4995. - 16:3(2022), pp. 527-546. [10.1017/S174849952200015X]
A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components
Gian Paolo Clemente;Francesco Della Corte
;Nino Savelli
2022
Abstract
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
