The financial risk in pension annuity portfolios constitutes the main uncertainty source. The paper deals with the estimate of the impact of the financial risk within a stochastic surplus analysis, according to a defined demographic scenario. Risk measures for a homogeneous annuity portfolio surplus are provided, by means of formulas apt to take into account the interactions between the main risk components, both financial and demographic. Numerical examples clarify the results.
The interplay between financial and demographic risks in a pension annuity system
RUSSOLILLO, Maria;D'AMATO, VALERIA;SIBILLO, Marilena
2009-01-01
Abstract
The financial risk in pension annuity portfolios constitutes the main uncertainty source. The paper deals with the estimate of the impact of the financial risk within a stochastic surplus analysis, according to a defined demographic scenario. Risk measures for a homogeneous annuity portfolio surplus are provided, by means of formulas apt to take into account the interactions between the main risk components, both financial and demographic. Numerical examples clarify the results.File in questo prodotto:
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