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Solvency capital requirements indicated by Solvency II against longevity risk involve distortions and inconsistencies caused by the invariance of the longevity shock compared to the age and time assumed by… Click to show full abstract
Solvency capital requirements indicated by Solvency II against longevity risk involve distortions and inconsistencies caused by the invariance of the longevity shock compared to the age and time assumed by the regulatory model. To overcome the problem we introduce a temporal structure of the time mortality volatility which is included as a driver of longevity shock, by modeling a rolling window affine stochastic model.
Keywords:
pricing approach;
solvency;
solvency capital;
capital requirements;
option pricing
Journal Title: Physica A: Statistical Mechanics and its Applications
Year Published: 2018
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Journal Title: Physica A: Statistical Mechanics and its Applications
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!