A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk

Gian Paolo Clemente, Francesco Della Corte and Nino Savelli

Papers from arXiv.org

Abstract: The paper provides a stochastic model useful for assessing the capital requirement for demographic risk. The model extends to the market consistent context classical methodologies developed in a local accounting framework. In particular we provide a unique formulation for different non-participating life insurance contracts and we prove analytically that the valuation of demographic profit can be significantly affected by the financial conditions in the market. A case study has been also developed considering a portfolio of life insurance contracts. Results prove the effectiveness of the model in highlighting main drivers of capital requirement evaluation, also compared to local GAAP framework.

Date: 2021-07
New Economics Papers: this item is included in nep-acc, nep-ias, nep-isf and nep-rmg
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2107.10891

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