A partial internal model for longevity risk
| Autor: | Thomas Møller, Søren Fiig Jarner |
|---|---|
| Rok vydání: | 2013 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Solvency education.field_of_study Percentile Actuarial science Longevity risk media_common.quotation_subject Population Longevity language.human_language Confidence interval Danish Economics Econometrics language Portfolio Statistics Probability and Uncertainty education media_common |
| Zdroj: | Scandinavian Actuarial Journal. 2015:352-382 |
| ISSN: | 1651-2030 0346-1238 |
| DOI: | 10.1080/03461238.2013.836561 |
| Popis: | This paper proposes a simple partial internal model for longevity risk within the Solvency 2 framework. The model is closely linked to the mechanisms associated with the so-called Danish longevity benchmark, where the underlying mortality intensity and the trend is estimated yearly based on mortality experience from the Danish life and pension insurance sector, and on current data from the entire Danish population. Within this model, we derive an estimate for the 99.5% percentile for longevity risk, which differs from the longevity stress of 20% from the standard model. The new stress explicitly reflects the risk associated with unexpected changes in the underlying population mortality intensity on a one-year horizon and with a 99.5% confidence level. In addition, the model contains a component, which quantifies the unsystematic longevity risk associated with a given insurance portfolio. This last component depends on the size of the specific portfolio. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|