This paper deals with demographic risk analysis in Enhanced Pensions, i.e., long-term care (LTC) insurance cover for the retired. Both disability and longevity risks affect such cover. Specifically, we concentrate on the risk of systematic deviations between projected and realised mortality and disability, adopting a multiple scenario approach. To this purpose we study the behaviour of the random risk reserve. Moreover, we analyse the effect of demographic risk on risk-based capital requirements, explaining how they can be reduced through either safety loading or capital allocation strategies. A profit analysis is also considered.
Managing demographic risk in enhanced pensions / Levantesi, Susanna; Massimiliano, Menzietti. - (2010), pp. 173-182. ((Intervento presentato al convegno International Conference MAF 2008 on Mathematical and Statistical Methods for Actuarial Sciences and Finance tenutosi a Venice, ITALY nel MAR 26-28, 2008. [10.1007/978-88-470-1481-7_18].