The Solvency Capital Requirement Management for an Insurance Company

Mariarosaria Coppola () and Valeria D’Amato ()
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Mariarosaria Coppola: Federico II University, Department of Political Sciences
Valeria D’Amato: University of Salerno, Department of Statistics and Economics, Campus di Fisciano

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 65-68 from Springer

Abstract: Abstract Longevity risk plays a central role in the insurance company management since only careful assumptions about future evolution of mortality phenomenon allows the company to correctly front its future obligations. According to Solvency II longevity risk represents a sub-module of the underwriting risk module in the regulatory standard formula. In this paper we examine the adequacy of the shock’s structure suggested by the standard formula studying its impact on the solvency capital requirements and liabilities at different ages. In particular, we propose an alternative to the regulatory standard model represented by a flexible internal model. The innovative approach hinges on a stochastic volatility model and a so-called coherent risk measure as the expected shortfall. An empirical analysis is provided.

Keywords: Solvency capital requirement; Longevity risk; Longevity shocks; Expected shortfall (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_15

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DOI: 10.1007/978-3-319-05014-0_15

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