Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances

Pierre Devolder, and Adrien Lebègue. "Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances." Dependence Modeling 4.1 (2016): 306-327, electronic only. <http://eudml.org/doc/287106>.

@article{PierreDevolder2016,
abstract = {The purpose of this paper is twofold. First we consider a ruin theory approach along with risk measures in order to determine the solvency capital of long-term guarantees such as life insurances or pension products. Secondly, for such products,we challenge the definition of the Solvency Capital Requirement (SCR) under the Solvency II (SII) regulatory framework based on a yearly viewpoint. Several methods for the calculation of the solvency capital are presented. We start our study with risk measures as considered in the SII framework and then proceed with the ruin theory approach. Instead of considering the continuous time setting of the ruin theory,we consider the discrete time-the yearly basis-of the accounting viewpoint.We finally give an illustration with a fixed guaranteed rate product along with the equity, interest rate and longevity risks. The latter risk brings us to consider zero-coupon longevity bonds in which we invest the capital. We show that long-term guarantees might be overloaded under the SII regulation.},
author = {Pierre Devolder, Adrien Lebègue},
journal = {Dependence Modeling},
keywords = {solvency capital; risk measures; ruin theory; longevity; life insurance; pension funds; Solvency II; solvency II},
language = {eng},
number = {1},
pages = {306-327, electronic only},
title = {Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances},
url = {http://eudml.org/doc/287106},
volume = {4},
year = {2016},
}

TY - JOUR
AU - Pierre Devolder
AU - Adrien Lebègue
TI - Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances
JO - Dependence Modeling
PY - 2016
VL - 4
IS - 1
SP - 306
EP - 327, electronic only
AB - The purpose of this paper is twofold. First we consider a ruin theory approach along with risk measures in order to determine the solvency capital of long-term guarantees such as life insurances or pension products. Secondly, for such products,we challenge the definition of the Solvency Capital Requirement (SCR) under the Solvency II (SII) regulatory framework based on a yearly viewpoint. Several methods for the calculation of the solvency capital are presented. We start our study with risk measures as considered in the SII framework and then proceed with the ruin theory approach. Instead of considering the continuous time setting of the ruin theory,we consider the discrete time-the yearly basis-of the accounting viewpoint.We finally give an illustration with a fixed guaranteed rate product along with the equity, interest rate and longevity risks. The latter risk brings us to consider zero-coupon longevity bonds in which we invest the capital. We show that long-term guarantees might be overloaded under the SII regulation.
LA - eng
KW - solvency capital; risk measures; ruin theory; longevity; life insurance; pension funds; Solvency II; solvency II
UR - http://eudml.org/doc/287106
ER -