of life annuity designed to cover systematic mortality risk while providing protection to policyholders from downside … investment risk. This paper provides an extensive study of how different sets of financial and demographic parameters affect the … mortality models in a continuous time framework. We demonstrate the significance of parameter risk, model risk, as well as the …

annuity payout of course impacts on the overall risk profile of the life annuity portfolio. On the one hand a higher premium … extending the business without taking huge amounts of risk. Hence, the Risk Management objective “enhancing the company market … share” can be pursued without significant worsening of the LoB risk profile …

result in a reduction in expected costs and equivalence premiums. However, due to the different impact of longevity risk on …, time restrictions reduce the duration of the provider’s liability, which should therefore be less exposed to financial risk … time frames for life annuity arrangements, first addressing longevity risk only, and then including also financial risk …

This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized … the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life …

This paper investigates the effects of a rise in interest rate and lapse risk of endowment life insurance policies on …