A Dynamic Solvency Approach for Life Insurance

1st IAA Life Colloqium, June 2007

24 Pages Posted: 8 Jan 2011

See all articles by Rosa Cocozza

Rosa Cocozza

University of Naples Federico II - Faculty of Economics

Emilia Di Lorenzo

University of Naples Federico II - Faculty of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: January 30, 2007

Abstract

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.

Keywords: Life insurance, financial risk, insolvency risk, capital adequacy, financial regulation

JEL Classification: G22, G28

Suggested Citation

Cocozza, Rosa and Di Lorenzo, Emilia, A Dynamic Solvency Approach for Life Insurance (January 30, 2007). 1st IAA Life Colloqium, June 2007, Available at SSRN: https://ssrn.com/abstract=1736032

Rosa Cocozza (Contact Author)

University of Naples Federico II - Faculty of Economics ( email )

Via Cintia Monte S. Angelo
Napoli, 80126
Italy
+39/81675083 (Phone)

HOME PAGE: http://www.docenti.unina.it/rosa.cocozza

Emilia Di Lorenzo

University of Naples Federico II - Faculty of Economics ( email )

Via Cintia, Monte S. Angelo
Napoli, 80126
Italy

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