Tools for testing the Solvency Capital Requirement for life insurance

Bibliographic Details
Main Author: Coppola, Mariarosaria
Publication Date: 2011
Other Authors: D’Amato, Valeria
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10400.21/1407
Summary: 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.
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spelling Tools for testing the Solvency Capital Requirement for life insuranceLongevity riskSolvency capital requirementsLife annuityBeck testLongevity 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.RCIPLCoppola, MariarosariaD’Amato, Valeria2012-04-19T14:09:22Z2011-072011-07-01T00:00:00Zconference objectinfo:eu-repo/semantics/publishedVersionapplication/pdfhttp://hdl.handle.net/10400.21/1407enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-02-12T08:26:06Zoai:repositorio.ipl.pt:10400.21/1407Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T19:55:44.822564Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Tools for testing the Solvency Capital Requirement for life insurance
title Tools for testing the Solvency Capital Requirement for life insurance
spellingShingle Tools for testing the Solvency Capital Requirement for life insurance
Coppola, Mariarosaria
Longevity risk
Solvency capital requirements
Life annuity
Beck test
title_short Tools for testing the Solvency Capital Requirement for life insurance
title_full Tools for testing the Solvency Capital Requirement for life insurance
title_fullStr Tools for testing the Solvency Capital Requirement for life insurance
title_full_unstemmed Tools for testing the Solvency Capital Requirement for life insurance
title_sort Tools for testing the Solvency Capital Requirement for life insurance
author Coppola, Mariarosaria
author_facet Coppola, Mariarosaria
D’Amato, Valeria
author_role author
author2 D’Amato, Valeria
author2_role author
dc.contributor.none.fl_str_mv RCIPL
dc.contributor.author.fl_str_mv Coppola, Mariarosaria
D’Amato, Valeria
dc.subject.por.fl_str_mv Longevity risk
Solvency capital requirements
Life annuity
Beck test
topic Longevity risk
Solvency capital requirements
Life annuity
Beck test
description 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.
publishDate 2011
dc.date.none.fl_str_mv 2011-07
2011-07-01T00:00:00Z
2012-04-19T14:09:22Z
dc.type.driver.fl_str_mv conference object
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.21/1407
url http://hdl.handle.net/10400.21/1407
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
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reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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