Solvency Requirements for Life Annuities: Some Comparisons

22 Pages Posted: 11 Sep 2008

See all articles by Annamaria Olivieri

Annamaria Olivieri

University of Parma - Dipartimento di Scienze Economiche e Aziendali

Ermanno Pitacco

MIB Trieste School of Management

Date Written: August 28, 2008

Abstract

In this paper we investigate rules for assessing the capital required by a life annuity portfolio to meet mortality risks, longevity risk in particular. Risks other than mortality are disregarded. Rules which could be adopted in internal models are discussed. Then a comparison is provided with the requirement emerging from Solvency 2.

Keywords: target capital, internal models, regulatory requirements, longevity risk, capital allocation

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JEL Classification: G22

Suggested Citation

Olivieri, Annamaria and Pitacco, Ermanno, Solvency Requirements for Life Annuities: Some Comparisons (August 28, 2008). Available at SSRN: https://ssrn.com/abstract=1266094 or http://dx.doi.org/10.2139/ssrn.1266094

Annamaria Olivieri (Contact Author)

University of Parma - Dipartimento di Scienze Economiche e Aziendali ( email )

via Kennedy 6
Parma, 43125
Italy

Ermanno Pitacco

MIB Trieste School of Management

Trieste, Trieste 34100
Italy

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