Κίνδυνος μακροβιότητας ασφαλιστικών εταιριών υπό τη θεώρηση της οδηγίας Solvency II
Longevity risk for insurance companies under the Solvency II Directive
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Subject
Ασφαλιστικές εταιρείες -- Ευρωπαϊκή Ένωση, χώρες της -- Δίκαιο και νομοθεσία ; Ασφαλιστικές εταιρείες -- Χρηματοοικονομική ανάλυση ; Insurance companies -- European Union countries -- Law and legislationAbstract
The capital requirement under Solvency II is determined as the 99.5% value-at-risk of the available capital. In the standard model's longevity risk module, this value-at-risk is approximated by the change in net asset value due to a pre-specified longevity shock which assumes a 25% reduction of mortality rates for all ages.The adequacy of this shock is analyzed by comparing the resulting capital requirement to the value-at-risk based on a stochastic mortality model. The results of this comparison are presented and a modified model for computing the longevity risk is proposed. Finally, there is a brief analysis of the risk margin and cost of capital concept under Solvency II concerning the longevity risk, and also a useful insight of the longevity risk derivative market is provided.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
84Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές