In this paper, we take the point of view of an insurer dealing with life annuities, which aims at building up a (partial) internal model in order to quantify the impact of mortality risks, namely process and longevity risk, in view of taking appropriate risk management actions. We assume that a...

In actuarial practice, the main calculations for insurance covers in the health care area, personal accident and sickness insurance in particular, are commonly based on simplified methods, whose probabilistic assumptions are often not enough clear. In this paper, starting from a rather general...

This paper is motivated by the need to have appropriate tools for the valuation of mortality risks when carrying out an internal assessment of the insurance business, such as a portfolio valuation or a solvency investigation based on internal models. The case of life annuities is in particular...