The paper presents a model involving an integrated analysis of demographic and financial risks for a portfolio of policies. In the case of life annuities, the impact of the longevity risk is studied, taking into account the interactions with the financial risk source; in particular the randomness in choosing projected mortality rates is considered in portfolio’s and reserve’s valuation. Numerical examples illustrate the results, showing the behaviour of the projection risk.

Longevity Risk: Measurement and Application Perspectives

SIBILLO, Marilena;
2002

Abstract

The paper presents a model involving an integrated analysis of demographic and financial risks for a portfolio of policies. In the case of life annuities, the impact of the longevity risk is studied, taking into account the interactions with the financial risk source; in particular the randomness in choosing projected mortality rates is considered in portfolio’s and reserve’s valuation. Numerical examples illustrate the results, showing the behaviour of the projection risk.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11386/3498677
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