Methodological problems in solvency assessment of an insurance company

The recent wide development and changes in insurance markets highlighted the necessity to map out the solvency analysis in a more complete framework. The approach we present in the paper comes up with an integrated analysis of the risk profile of an insurance business, taking into account the actual European directives about solvency assessment. The aim of the paper is to construct a methodology apt to incorporate properly the effect of the risk sources in calculating mathematical provisions related to a portfolio of insurance policies.Life insurance, financial risk, demographic risk, capital adequacy, reserves, conditional random processes

Risk-adjusted performance indicators in life insurance

The paper approaches the potential of risk-adjusted performance indicators in life insurance, with special reference to a structured policy. The final issue is the computation of risk adjusted indicators as a tool to evaluate the portfolio given a policy structure. The computation of such indicator could be suitable for the appraisal of both portfolio optimization and potential profits of the structured policy. The selection tool is put into an asset and liability management decision making context, where the relationship between expected surplus and capital at risk are compared. The analysis is applied to a structured temporary annuity and is treated by means of Monte Carlo simulations

The Poisson Log-Bilinear Lee-Carter Model: Applications Of efficient bootstrap methods to annuity analyses

Life insurance companies deal with two fundamental types of risks when issuing annuity contracts: financial risk and demographic risk. Recent work on the latter has focused on modeling the trend in mortality as a stochastic process. A popular method for modeling death rates is the Lee-Carter model. This methodology has become widely used, and various extensions and modifications have been proposed to obtain a broader interpretation and to capture the main features of the dynamics of mortality rates. In order to improve the measurement of uncertainty in survival probability estimates, in particular for older ages, the paper proposes an extension based on simulation procedures and on the bootstrap methodology. It aims to obtain more reliable and accurate mortality projections, based on the idea of obtaining an acceptable accuracy of the estimate by means of variance reducing techniques. In this way the forecasting procedure becomes more efficient. The longevity question constitutes a critical element in the solvency appraisal of pension annuities. The demographic models used for the cash flow distributions in a portfolio impact on the mathematical reserve and surplus calculations and affect the risk management choices for a pension plan. The paper extends the investigation of the impact of survival uncertainty for life annuity portfolios and for a guaranteed annuity option in the case where interest rates are stochastic. In a framework in which insurance companies need to use internal models for risk management purposes and for determining their solvency capital requirement, the authors consider the surplus value, calculated as the ratio between the market value of the projected assets to that of the liabilities, as a meaningful measure of the company's financial position, expressing the degree to which the liabilities are covered by the assets

Foreword special issue Deaf 2019–Maf 2018

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Il rischio di investimento per annualità vitalizie differite

In questo lavoro, ipotizzando uno scenario stocastico per i tassi di interesse, abbiamo analizzato la rischiosità di un portafoglio di annualità vitalizie differite utilizzando un approccio fondato sulla valutazione della riserva. In particolare, dai risultati ottenuti è emerso come il rischio finanziario risulti la componente predominante nell’analisi della rischiosità globale. Il modello ottenuto presenta la caratteristica di flessibilità essendo adattabile ai vari scenari stocastici descrittivi della mortalità e dell’interesse. Ulteriori sviluppi di questo tema potranno riguardare sia l’introduzione della componente di rischio di longevità ed il conseguente rischio di proiezione, sia l’estensione degli argomenti trattati a portafogli assicurativi eterogenei