Please use this identifier to cite or link to this item: http://hdl.handle.net/10077/16050
Title: The Impact of Longevity and Investment Risk on a Portfolio of Life Insurance Liabilities
Authors: BACINELLO, ANNA RITA 
MILLOSSOVICH, PIETRO 
CHEN, AN
Keywords: SolvencyLongevity riskInvestment riskFair valuationParticipating life insurance
Issue Date: 2017
Publisher: EUT Edizioni Università di Trieste
Source: Anna Rita Bacinello, Pietro Millossovich, An Chen, "The Impact of Longevity and Investment Risk on a Portfolio of Life Insurance Liabilities", Trieste, EUT Edizioni Università di Trieste, 2017
Series/Report no.: DEAMS Research Paper Series 
DEAMS Research Paper Series 2017, 4
Abstract: In this paper we assess the joint impact of biometric and financial risk on the market valuation of life insurance liabilities. We consider a stylized, contingent claim based model of a life insurance company issuing participating contracts and subject to default risk, as pioneered by Briys and de Varenne (1994, 1997) build on their model by explicitly introducing biometric risk and its components, namely diversifiable and systematic risk. The contracts considered include pure endowments, deferred whole life annuities and guaranteed annuity options. Our results stress the predominance of systematic over diversifiable risk in determining fair participation rates. We investigate the interaction of contract design, market regimes and mortality scenarios, and show that, particularly for lifelong benefits, usually offered participation rates may not be sustainable even under moderate longevity improvements.
URI: http://hdl.handle.net/10077/16050
Rights: Attribution-NonCommercial-NoDerivatives 4.0 Internazionale
Appears in Collections:DEAMS Research Paper Series 2017, 4

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