Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1407
Título: Tools for testing the Solvency Capital Requirement for life insurance
Autor: Coppola, Mariarosaria
D’Amato, Valeria
Palavras-chave: Longevity risk
Solvency capital requirements
Life annuity
Beck test
Data: Jul-2011
Resumo: Longevity risk is one of the major risks that an insurance company or a pension fund has to deal with and it is expected that its importance will grow in the near future. In agreement with these considerations, in Solvency II regulation the Standard formula furnished for calculating the Solvency Capital Requirement explicitly considers this kind of risk. According to the new European rules in our paper we suggest a multiperiod approach to evaluate the SCR for longevity risk. We propose a backtesting framework for measuring the consistency of SCR calculations for life insurance policies.
Peer review: yes
URI: http://hdl.handle.net/10400.21/1407
Aparece nas colecções:ISCAL - Comunicações

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