Cocozza, Rosa and Di Lorenzo, Emilia (2007): A Dynamic Solvency Approach for Life Insurance.
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The paper investigates risk management processes in life insurance, in a perspective consistent with the framework of Solvency II. The paper starts with the breakdown of the business dynamics. This analysis provides for a complete depiction of risk and value driver within life business. The corresponding map is then put into the solvability context, in order to formally identify the equilibrium conditions. Considerations about the technical equilibrium of an insurance portfolio and the financial regulation lead to a dynamic system of solvency assessment. The formal model is applied to a life annuity cohort in a stochastic context in order to exemplify the potential of the model, especially referred to the need to frame solvency assessment in a dynamic perspective.
|Item Type:||MPRA Paper|
|Original Title:||A Dynamic Solvency Approach for Life Insurance|
|Keywords:||Life insurance, financial risk, insolvency risk, capital adequacy, financial regulation|
|Subjects:||G - Financial Economics > G2 - Financial Institutions and Services > G22 - Insurance ; Insurance Companies ; Actuarial Studies
G - Financial Economics > G2 - Financial Institutions and Services > G28 - Government Policy and Regulation
|Depositing User:||Rosa Cocozza|
|Date Deposited:||11. Jan 2011 21:35|
|Last Modified:||18. Feb 2013 09:33|
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