The first aim of the paper is to develop a model for risk assessment in a portfolio of life annuities with long term care benefits. These products are affected by both longevity and disability risks and could be represented by a Markovian Multi-State model. We propose a stochastic projection model in order to represent the future evolution of mortality and disability transition intensities. Data from the Italian National Statistical Institute (ISTAT) are used to estimate the model parameters. Secondly we investigate the solvency in a portfolio of enhanced pensions. To this aim a risk model based on the portfolio risk reserve is proposed and different rules to calculate solvency capital requirements for life underwriting risk are examined. Such rules are then compared with the standard formula proposed by the Solvency II project.
Modelling and Managing Longevity and Disability Risks in Long Term Care Insurance
MENZIETTI, Massimiliano
2011-01-01
Abstract
The first aim of the paper is to develop a model for risk assessment in a portfolio of life annuities with long term care benefits. These products are affected by both longevity and disability risks and could be represented by a Markovian Multi-State model. We propose a stochastic projection model in order to represent the future evolution of mortality and disability transition intensities. Data from the Italian National Statistical Institute (ISTAT) are used to estimate the model parameters. Secondly we investigate the solvency in a portfolio of enhanced pensions. To this aim a risk model based on the portfolio risk reserve is proposed and different rules to calculate solvency capital requirements for life underwriting risk are examined. Such rules are then compared with the standard formula proposed by the Solvency II project.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
