The risk profile of an insurance company involved in annuity business is heavily affected by the uncertainty in future mortality trends. It is problematic to capture accurately future survival patterns, in particular at retirement ages when the effects of the rectangularization phenomenon and...

The Italian health insurance market is currently undersized. The paucity of assured data and the discontinuous statistical surveys carried out by the National Institute of Statistics (ISTAT) represent one of the main obstacles to the insurance market development. The paper sets forth a...

The aim of the paper is twofold. Firstly, it develops a model for risk assessment in a portfolio of life annuities with long term care benefits. These products are usually represented by a Markovian Multi-State model and are affected by both longevity and disability risks. Here, a stochastic...