Jevtić, Petar and Regis, Luca Assessing the solvency of insurance portfolios via a continuous-time cohort model. Insurance: Mathematics and Economics, 61 (March). pp. 36-47. ISSN 0167-6687 (2015)
Full text not available from this repository.Abstract
This paper evaluates the solvency of a portfolio of assets and liabilities of an insurer subject to both longevity and financial risks. Liabilities are evaluated at fair-value and, as a consequence, interest-rate risk can affect both the assets and the liabilities. Longevity risk is described via a continuous-time cohort model. We evaluate the effects of natural hedging strategies on the risk profile of an insurance portfolio in run-off. Numerical simulations, calibrated to UK historical data, show that systematic longevity risk is of particular importance and needs to be hedged. Natural hedging can improve the solvency of the insurer, if interest-rate risk is appropriately managed. We stress that asset allocation choices should not be independent of the composition of the liability portfolio of the insurer.
| Item Type: | Article |
|---|---|
| Identification Number: | https://doi.org/10.1016/j.insmatheco.2014.12.002 |
| Uncontrolled Keywords: | JEL classification: G22; G32 - Keywords: Longevity risk; Natural hedging; Continuous-time cohort models for longevity; Solvency of insurance portfolios; Solvency requirements; Longevity and interest-rate risk |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management H Social Sciences > HG Finance Q Science > QA Mathematics |
| Research Area: | Economics and Institutional Change |
| Depositing User: | Users 53 not found. |
| Date Deposited: | 16 Dec 2014 10:32 |
| Last Modified: | 06 Apr 2016 08:06 |
| URI: | http://eprints.imtlucca.it/id/eprint/2395 |
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