A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components

Gian Paolo Clemente, Francesco Della Corte and Nino Savelli

Annals of Actuarial Science, 2022, vol. 16, issue 3, 527-546

Abstract: This paper provides a stochastic model, consistent with Solvency II and the Delegated Regulation, to quantify the capital requirement for demographic risk. In particular, we present a framework that models idiosyncratic and trend risks exploiting a risk theory approach in which results are obtained analytically. We apply the model to non-participating policies and quantify the Solvency Capital Requirement for the aforementioned risks in different time horizons.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:cup:anacsi:v:16:y:2022:i:3:p:527-546_7

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