Solvency of Life Insurance Companies: Methodological Issues

Journal of Actuarial Practice, Vol. 13, 2006

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

Date Written: 2006

Abstract

The paper deals with solvency assessment for life insurance business; some methodological issues concerning the solvency of life insurance companies, particularly connected to the investment risk, are suggested. Considerations about the technical equilibrium of an insurance portfolio and the financial regulation lead to a dynamic system involving risk measure and 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, G13

Suggested Citation

Cocozza, Rosa and Di Lorenzo, Emilia, Solvency of Life Insurance Companies: Methodological Issues (2006). Journal of Actuarial Practice, Vol. 13, 2006, Available at SSRN: https://ssrn.com/abstract=997838

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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