On The Longevity Risk Assessment Under Solvency II

Main Article Content

Sana Ben Salah
Lotfi Belkacem

Keywords

Solvency II, Longevity Risk, Solvency Capital Requirement

Abstract

This paper deals with the longevity risk assessment within the Solvency II framework. We propose a methodology allowing obtaining longevity shocks specified by gender, age and maturity. These shocks, which are calibrated on experience mortality data relative to a French insurance company, are proved to be far away from that assumed in the standard formula and the resulting solvency capital requirement (SCR) leads to significant capital savings as compared to the standard approach.

Downloads

Download data is not yet available.
Abstract 35 | PDF Downloads 37