Longevity risk: A methodology for assessing in a Solvency II perspective

Abstract

This paper considers the assessment of longevity risk in the context of alongevity indexed life annuities. The framework is set up in a way that accommodatesa variety of regulatory regimes such as Solvency II as well aslocal actuarial practice, attempting to bridge the gap between academia andpractice. In the following the authors compare the results obtained in a SolvencyII perspective with those obtained with a partial internal model. Thepredictions contained in both models are compared with the real probabilitiesin order to evaluate the deviations due to life expectancy improvements