1,721,121 research outputs found
Il rischio di investimento per annualità vitalizie differite
No full textIn questo lavoro, ipotizzando uno scenario stocastico per i tassi di
interesse, abbiamo analizzato la rischiosità di un portafoglio di annualità vitalizie differite utilizzando un approccio fondato sulla valutazione della riserva. In particolare, dai risultati ottenuti è emerso come il rischio finanziario risulti la componente predominante nell’analisi della rischiosità globale. Il modello ottenuto presenta la caratteristica di flessibilità essendo adattabile ai vari scenari stocastici descrittivi della mortalità e dell’interesse.
Ulteriori sviluppi di questo tema potranno riguardare sia l’introduzione della componente di rischio di longevità ed il conseguente rischio di proiezione, sia l’estensione degli argomenti trattati a portafogli assicurativi eterogenei
Life Office Management perspectives by actuarial risk indexes
Full text linkInvestment Management and Financial Innovations, Volume 5, Issue 2, 2008
73
Mariarosaria Coppola (Italy), Valeria D’Amato (Italy), Emilia Di Lorenzo (Italy), Marilena Sibillo (Italy)
Life office management perspectives by actuarial risk indexes
Abstract
The study focuses on the quantitative risk analysis of a pension scheme referred to a portfolio of beneficiaries entering
in the retirement state at the same time. The analysis starts from the retirement time of the contractors and concerns the
dynamic behavior of the financial periodic portfolio fund cut down year by year by the payments due to the survivals.
The fund arises from the payment stream consisting in constant payments due at the beginning of each year in case of
life of the pensioner in the deferment period. It gushes that the two forces operating in opposite directions from the
retirement age on, in and out of the portfolio, are the increasing effect due to the interest maturing on the accumulated
fund and in the outflow represented by the benefit payments due to the survival. The two processes are compared in a
scenario in which the financial risk and the demographic risk are considered. Posing the time of valuation coinciding
with the contract entry time, we consider deterministically unknown the dynamic of the future behavior of both the
interest rates maturing on the fund and of the mortality. The mortality trend betterment in very long periods, as in the
pension cases happens, leads to the need of a careful consideration of the systematic deviations of the number of deaths
from the expected values. As known, if the risk arising from the accidental deviations of mortality can be hedged by
pooling strategies, such that it is possible to neglect this risk source in the case of sufficiently large portfolios, the risk
arising from the longevity phenomenon cannot be avoided without making dangerous mistakes consisting in
underestimation of future obligations. The scenario in which the study is framed consists in stochastic hypotheses on
the evolution in time of the interest rates of return on investment of the fund and in a more complex description of the
mortality trend. The aim of the paper is, in particular, to study the effects of the change in the mortality description on
the fund portfolio values. The survival forecasting made at the time of the contract issue, even if considered with a
certain degree of projection, isn’t likely to be the same we can forecast, for example, at the time of the retirement age.
The choice of the “right” mortality table means the choice of the “right” projection level to attribute to the mortality
trend. Risk filters and opportune indexes are considered and illustrate
The fair value of the insured loan portfolio scheduled at variable interest rates
No full textThe paper concerns the case of the insured loan based on an
amortization schedule at variable interest rates. Basing on the cash flow structure, the
aim is to evaluate the mathematical provision of a portfolio in a fair value approach. In
this environment, the complexity of a life insurance contract management practically
involves the choice of the most suitable mortality table and discounting process; in the
paper the tool is treated in a stochastic scenario for interest rates and in random
hypotheses for the mortality rates. The amortization schedule used for the loan
repayment is considered at variable interest rates, hooked at opportune rate indexes. A
numerical application of the model is presented and a comparison between the
behaviour of the fair values of the insured loan portfolio reserve in the two cases of an
amortization schedule at fixed and at variable interest rates is reported. The fair reserve
sensitivity to the changes of the amortization interest rate is studied and showed with
illustrations
Fair valuation scheme for life annuity contracts
No full textThe paper focuses on the fair valuation of the stochastic reserve of a life
policy portfolio. The method, presented for life annuities because of their particular
importance in the life insurance market, substantially fits any kind of life policy
portfolio. The quantitative approach starts from regulatory and managerial outlines
aimed to indicate the reserve quantification as a mark-to-market valuation of the
outstanding liabilities. Numerical examples clarify the valuation scheme, comparing
the current values of projected cash-flows and the corresponding ones calculated at
the contractual rate
Fair value and demographic aspects of the insured loans.
No full textThe paper deals with the liability valuation of the insured loan in compliance of the fair value requirements for
the financial assets and liabilities, as mapped out by the international boards engaged on this tool. Initially we
propose a closed form for the fair valuation of the mathematical provision in a framework in which the
randomness in the mortality is considered together with the financial risk component. Furthermore, aim of the
paper is to analyse the relevance of the risk arising from the demographic movements on the insured loan
reserve.
Practical implications of assuming different mortality scenarios on the
reserve fair value are presented, a graphic description of the model risk deriving from the choice of the
demographic model is provided and numerical evidences of the accidental mortality risk are show
Fair value and demographic aspects of the insured loans
No full textThe paper deals with the liability valuation of the insured loan in compliance of the fair value requirements for the financial assets and liabilities, as mapped out by the international boards engaged in this tool. Initially we propose a closed form for the fair valuation of the mathematical provision in a framework in which the randomness in the mortality is considered along with the financial risk component. Furthermore, the aim of the paper is to analyze the relevance of the risk arising from the demographic movements on the insured loan reserve. The approach we follow implies the mathematical provision calculated as current values, this meaning at current interest rates and at current mortality rates. In these two variables the basic risk drivers of a life insurance business dwell and the many-sided risk system consists, in its systematic aspects, in the choice of the adequate models for forecasting the future scenarios. The relevance of the impact of the risk connected to the choice of the mortality table (table risk) on the fair value of the mathematical provision is pointed out and quantified using a measurement tool obtained by conditional expectation calculus. The risk mapping is performed analyzing the accidental risk impact on the insured loan portfolio liabilities. In all likelihood, insured loan portfolios are not large enough to be considered well diversified to the aim of the pooling risk reduction; this consideration makes interesting the measuring of the liability variability caused by the random events connected to mortality (mortality risk). Practical implications of assuming different mortality scenarios on the reserve fair value are presented, a graphic description of the model risk deriving from the choice of the demographic model is provided and numerical evidences of the accidental mortality risk are shown
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