Conference Proceedings

International Conference on Advances In Economics, Management and Social Study - EMS 2014

Assessing Life Annuities’ Biometric Risk Under The New Solvency Directive

Author(s) : LOTFI BELKACEM, SANA BEN SALAH

Abstract

In this paper we propose to assess the biometric risk involved in a life annuity portfolio under the new solvency directive. In particular, a biometric scenario generator is developed to derive a distribution of the insurer’s liabilities useful for the solvency capital estimation. Then, gender-specific implicit longevity shocks are deduced in a marginal nested simulation context consistent with the Solvency II general principle. These shocks that are specified by age and maturity are proved to be less conservative than the unique permanent standard longevity stress what causes significant capital savings.

Conference Title : International Conference on Advances In Economics, Management and Social Study - EMS 2014
Conference Date(s) : 02 - 03 August, 2014
Place : Hotel G Tower, Kuala Lumpur, Malaysia
No fo Author(s) : 2
DOI : 10.15224/978-1-63248-007-1-76
Page(s) : 46 - 50
Electronic ISBN : 978-1-63248-007-1
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