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A comparison of risk transfer strategies for a portfolio of life annuities based on RORAC

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  • Fabio Baione
  • Paolo De Angelis
  • Massimiliano Menzietti
  • Agostino Tripodi

Abstract

This paper aims to compare different reinsurance arrangements in order to reduce the longevity and financial risk originated by a life insurer while managing a portfolio of annuities policies. Linear and nonlinear reinsurance strategies as well as swap like agreements are evaluated via a discrete-time actuarial risk model. Specifically, longevity dynamics are represented by Lee–Carter type models, while interest rate is modeled by Cox–Ingersoll–Ross model. The reinsurance strategies effectiveness is evaluated according to the Return on Risk Adjusted Capital under a ruin probability constrain.

Suggested Citation

  • Fabio Baione & Paolo De Angelis & Massimiliano Menzietti & Agostino Tripodi, 2017. "A comparison of risk transfer strategies for a portfolio of life annuities based on RORAC," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(10), pages 1875-1892, July.
    • Handle: RePEc:taf:japsta:v:44:y:2017:i:10:p:1875-1892
    DOI: 10.1080/02664763.2016.1238047
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    References listed on IDEAS

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