On The Longevity Risk Assessment Under Solvency II

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Sana Ben Salah
Lotfi Belkacem


Solvency II, Longevity Risk, Solvency Capital Requirement


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.


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