Participating Policies: Risk and Value Drivers in a Financial Management Perspective

Posted: 9 Jan 2011 Last revised: 6 Feb 2011

See all articles by Rosa Cocozza

Rosa Cocozza

University of Naples Federico II - Faculty of Economics

Antonio De Simone

University of Naples Federico II - Faculty of Economics

Emilia Di Lorenzo

University of Naples Federico II - Faculty of Economics

Marilena Sibillo

Università degli Studi di Salerno

Date Written: January 8, 2011

Abstract

The complex risk system involving life insurance business, mainly life and pension annuities, requires a structured equipment of measurement and management tools, suitable to evaluate the policies' performance within an ex-post perspective as well as within a forecasting context, consistently with the recent regulatory and accounting rules set up by the international supervisory associations and committees. The paper focuses on the impact of the financial risk sources on annuity contracts by working out on an ex-ante year by year analysis. The study specifically refers to the case of participating policies, which strongly suffer from the financial risk components, by developing a scenario analysis by means of numerical procedures. The analysis addresses a twofold goal: on the one hand it provides performance indicators based on the operating income, on the other hand it obtains managerial guidelines, within a risk-adjusted performance framework, apt to evaluate the participation rate.

Keywords: Participating Policies, Pension Annuities, Stochastic Interest Rates, Operating Income

JEL Classification: C53, G17, G22, G32

Suggested Citation

Cocozza, Rosa and De Simone, Antonio and Di Lorenzo, Emilia and Sibillo, Marilena, Participating Policies: Risk and Value Drivers in a Financial Management Perspective (January 8, 2011). Available at SSRN: https://ssrn.com/abstract=1736887

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

Antonio De Simone

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

Via Cintia, Monte S. Angelo
Napoli, 80126
Italy

Emilia Di Lorenzo

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

Via Cintia, Monte S. Angelo
Napoli, 80126
Italy

Marilena Sibillo

Università degli Studi di Salerno ( email )

Campus Universitario, 84084 Fisciano
Salerno, 80131
Italy

HOME PAGE: http://www.unisa.it//Facolta/Economia/docenti/Sibillo_/home.php?cms=yes

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