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 this paper we investigate rules for assessing the capital required by a life annuity portfolio to meet mortality risks, longevity risk in particular. Risks other than mortality are disregarded. Rules which could be adopted in internal models are discussed. Then a comparison is provided with...

The uncertainty regarding financial returns and the life expectancy, joint to the reduced social security benefits, increasingly expose individuals to the risk of outliving their post-retirement assets. However, the demand for longevity guarantees remains low, due to high costs. The providers,...

Life annuities and pension products usually involve a number of ‘guarantees', such as, e.g., minimum accumulation rates, minimum annual payments and minimum total payout. Packaging different types of guarantees is the feature of the so-called Variable Annuities. Basically, these products are...

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...

The cost of longevity guarantees of traditional annuity products has increased in the recent scenario, characterized by declining mortality rates, in particular at unanticipated levels. Increasing the annuity loading rewarding the accepted longevity risk is not an option for annuity providers,...

The cost of capital is a key element of the embedded value methodology for the valuation of a life business. Further, under some solvency approaches (in particular, the Swiss Solvency Test and the developing Solvency 2 project) assessing the cost of capital constitutes a step in determining the...

In this paper we address the problem of projecting mortality when data are severely affected by random fluctuations, due in particular to a small sample size, or when data are scanty. Such situations may emerge when dealing with small populations, such as small countries (possibly previously...