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arXiv · 2107.10891

A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk

Gian Paolo Clemente·Francesco Della Corte·Nino Savelli
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Abstract

The paper provides a stochastic model useful for assessing the capital requirement for demographic risk. The model extends to the market consistent context classical methodologies developed in a local accounting framework. In particular we provide a unique formulation for different non-participating life insurance contracts and we prove analytically that the valuation of demographic profit can be significantly affected by the financial conditions in the market. A case study has been also developed considering a portfolio of life insurance contracts. Results prove the effectiveness of the model in highlighting main drivers of capital requirement evaluation, also compared to local GAAP framework.

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Gian Paolo Clemente, Francesco Della Corte, Nino Savelli. 2021-07-22. A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk. https://doi.org/10.3390/risks9100175

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