Solvency measurement of life annuity products

Pauline Ngugnie Diffouo and Pierre Devolder
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Pauline Ngugnie Diffouo: Université catholique de Louvain, LIDAM/ISBA, Belgium
Pierre Devolder: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2022017, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

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)
Pages: 26
Date: 2022-02-21
Note: In: International Journal of Theoretical and Applied Finance, 2022, vol. 25(2), 2250003
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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2022017

DOI: 10.1142/S0219024922500030

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