SOLVENCY MEASUREMENT OF LIFE ANNUITY PRODUCTS

Pauline Ngugnie Diffouo () and Pierre Devolder ()
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Pauline Ngugnie Diffouo: Institute of Statistics, Biostatistics and Actuarial Sciences, Université Catholique de Louvain, Voie du Roman Pays 20 bte L1.04.01, Louvain-la-Neuve, 1348, Belgium
Pierre Devolder: Institute of Statistics, Biostatistics and Actuarial Sciences, Voie du Roman Pays 20 bte L1.04.01, Louvain-la-Neuve, 1348, Belgium

International Journal of Theoretical and Applied Finance (IJTAF), 2022, vol. 25, issue 02, 1-26

Abstract: In this paper, we measure the market and the longevity risks borne by an insurer by computing their solvency capital for a given annuity and within an investment strategy. For this purpose, we propose the investment strategy in such a way as to mitigate the solvency capital of the insurer and improve the internal rate of return of a shareholder investing on a given annuity. Numerically, we study the sensitivity of both the solvency capital and the internal rate of return with respect to some significant parameters.

Keywords: Life annuity; solvency capital; equity risk; longevity risk; interest rate risk; sensitivity analysis (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:25:y:2022:i:02:n:s0219024922500030

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DOI: 10.1142/S0219024922500030

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