Download This PaperSolvency Requirements for Life Annuities: Some Comparisons
22 Pages Posted: 11 Sep 2008
Date Written: August 28, 2008
Abstract
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 requirement emerging from Solvency 2.
Keywords: target capital, internal models, regulatory requirements, longevity risk, capital allocation
JEL Classification: G22
Suggested Citation: Suggested Citation
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