A Dynamic Solvency Approach for Life Insurance

24 Pages Posted: 9 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 8, 2011

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 8, 2011). Available at SSRN: https://ssrn.com/abstract=1736922 or http://dx.doi.org/10.2139/ssrn.1736922

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

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
196
Abstract Views
1,335
rank
138,742
PlumX Metrics