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Solvency Measurement Of Life Annuity Products

Author

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  • PAULINE NGUGNIE DIFFOUO

    (Institute of Statistics, Biostatistics and Actuarial Sciences, Université Catholique de Louvain, Voie du Roman Pays 20 bte L1.04.01, Louvain-la-Neuve, 1348, Belgium)

  • PIERRE DEVOLDER

    (Institute of Statistics, Biostatistics and Actuarial Sciences, Voie du Roman Pays 20 bte L1.04.01, Louvain-la-Neuve, 1348, 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

  • Pauline Ngugnie Diffouo & Pierre Devolder, 2022. "Solvency Measurement Of Life Annuity Products," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 25(02), pages 1-26, March.
    • Handle: RePEc:wsi:ijtafx:v:25:y:2022:i:02:n:s0219024922500030
    DOI: 10.1142/S0219024922500030
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