A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk
Risk Management
2022-01-12 v1
Abstract
The paper provides a stochastic model useful for assessing the capital requirement for demographic risk. The model extends to the market consistent context classical methodologies developed in a local accounting framework. In particular we provide a unique formulation for different non-participating life insurance contracts and we prove analytically that the valuation of demographic profit can be significantly affected by the financial conditions in the market. A case study has been also developed considering a portfolio of life insurance contracts. Results prove the effectiveness of the model in highlighting main drivers of capital requirement evaluation, also compared to local GAAP framework.
Cite
@article{arxiv.2107.10891,
title = {A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk},
author = {Gian Paolo Clemente and Francesco Della Corte and Nino Savelli},
journal= {arXiv preprint arXiv:2107.10891},
year = {2022}
}
Comments
24 pages, 5 figures