Solvency of Life Insurance Companies: Methodological Issues
Journal of Actuarial Practice, Vol. 13, 2006
Posted: 9 Jan 2011
Date Written: 2006
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: Suggested Citation