eprintid: 2261
rev_number: 14
eprint_status: archive
userid: 6
dir: disk0/00/00/22/61
datestamp: 2014-07-22 14:24:57
lastmod: 2014-07-22 14:24:57
status_changed: 2014-07-22 14:24:57
type: monograph
metadata_visibility: show
creators_name: Jevtić, Petar
creators_name: Regis, Luca
creators_id: 
creators_id: luca.regis@imtlucca.it
title: Assessing the solvency of insurance portfolios via a continuous time cohort model
ispublished: pub
subjects: HB
subjects: HD61
subjects: HG
divisions: EIC
full_text_status: public
monograph_type: imt_eic_working_paper
keywords: longevity risk; natural hedging; continuous-time cohort models for longevity; solvency of insurance portfolios; solvency requirements; longevity and interest-rate risk    -   JEL classification: G22, G32
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.
date: 2014-07
date_type: published
number: 7
publisher: IMT Institute for Advanced Studies Lucca
pages: 37
institution: IMT Institute for Advanced Studies Lucca
issn: 2279-6894
citation:   Jevtić, Petar and Regis, Luca  Assessing the solvency of insurance portfolios via a continuous time cohort model.  EIC working paper series  #7/2014    IMT Institute for Advanced Studies Lucca    ISSN 2279-6894.      
document_url: http://eprints.imtlucca.it/2261/1/EIC_WP_7_2014.pdf