Centro de Documentacion de Fundación MAPFRE - Geographical diversification and longevity risk mitigation in annuity portfolios

Notes: Sumario: This paper provides a method to assess the risk relief deriving from a foreign expansion by a life insurance company. We build a parsimonious continuous-time model for longevity risk that captures the dependence across different ages in domestic versus foreign populations. We calibrate the model to portray the case of a UK annuity portfolio expanding internationally toward Italian policyholders. The longevity risk diversification benefits of an international expansion are sizable, in particular when interest rates are low. The benefits are judged based on traditional measures, such as the Risk Margin or volatility reduction, and on a novel measure, the Diversification Index.

Related records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 10/05/2021 Volumen 51 Número 2 - mayo 2021 , p. 375-410Materia / lugar / evento: Longevidad Riesgos Solvencia II Otros autores: Luciano, Elisa
Regis, Luca
Other categories: 6

Rights: La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"

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