IDEAS home Printed from https://ideas.repec.org/p/aiz/louvar/2022017.html
   My bibliography  Save this paper

Solvency measurement of life annuity products

Author

Listed:
  • Ngugnie Diffouo, Pauline

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

  • Devolder, Pierre

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

Abstract

In this paper, we measure the market and the longevity risks borne by an insurer by computing their solvency capital for a given annuity and within an investment strategy. For this purpose, we propose the investment strategy in such a way as to mitigate the solvency capital of the insurer and improve the internal rate of return of a shareholder investing on a given annuity. Numerically, we study the sensitivity of both the solvency capital and the internal rate of return with respect to some significant parameters.

Suggested Citation

  • Ngugnie Diffouo, Pauline & Devolder, Pierre, 2022. "Solvency measurement of life annuity products," LIDAM Reprints ISBA 2022017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2022017
    DOI: https://doi.org/10.1142/S0219024922500030
    Note: In: International Journal of Theoretical and Applied Finance, 2022, vol. 25(2), 2250003
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aiz:louvar:2022017. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Nadja Peiffer (email available below). General contact details of provider: https://edirc.repec.org/data/isuclbe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.