The impact of longevity and investment risk on a portfolio of life insurance liabilities

被引：9

作者：

Bacinello A.R. ^{[1
]}

Millossovich P. ^{[1
,3
]}

Chen A. ^{[2
]}

机构：

[1] Department of Economics, Business, Mathematics and Statistics ‘B. de Finetti’, University of Trieste, Via dell’Università 1, Trieste

[2] Faculty of Mathematics and Economics, University of Ulm, Helmholtzstrasse 20, Ulm

[3] Faculty of Actuarial Science and Insurance, Cass Business School, City, University of London, 106 Bunhill Row, London

来源：

European Actuarial Journal | 2018年 / 8卷 / 2期

关键词：

Fair valuation; Investment risk; Longevity risk; Participating life insurance; Solvency;

D O I：

10.1007/s13385-018-0175-5

中图分类号：

学科分类号：

摘要：

In this paper we assess the joint impact of biometric and financial risk on the market valuation of life insurance liabilities. We consider a stylized, contingent claim based model of a life insurance company issuing participating contracts and subject to default risk, as pioneered by Briys and de Varenne (Geneva Pap Risk Insur Theory 19(1):53–72, 1994, J Risk Insur 64(4):673–694, 1997), and build on their model by explicitly introducing biometric risk and its components, namely diversifiable and systematic risk. The contracts considered include pure endowments, deferred whole life annuities and guaranteed annuity options. Our results stress the predominance of systematic over diversifiable risk in determining fair participation rates. We investigate the interaction of contract design, market regimes and mortality assumptions, and show that, particularly for lifelong benefits, the choice of the participation rate must be very conservative if longevity improvements are foreseeable. © 2018, EAJ Association.

引用

页码：257 / 290

页数：33

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