Abstract

Journal of Actuarial Practice

Volume 10, Numbers 1 and 2, 2002

Further Remarks on Risk Sources Measuring: The Case of a Life Annuity Portfolio

Mariarosaria Coppola, Emilia Di Lorenzo, and Marilena Sibillo

Abstract

The paper considers a model that allows the actuary to measure the riskiness connected to the randomness of projected mortality tables in evaluating a portfolio of life annuities, obtaining a measure to reflect the risk associated with the randomness of the projection. The coherence of the risk parameters with the specific nature of the considered risk sources is also discussed.

Numerical examples illustrate the results, showing the importance of the risk components in terms of the number of policies and comparing measure tools obtained by means of two procedures.

Key words and phrases: investment risk, insurance risk, longevity risk, random projected mortality tables.

Corresponding Author:

Emilia Di Lorenzo

Dipartimento di Matematica e Statistica

Facolta' di Economia

Universita' degli Studi di Napoli ``Federico II''

via Cintia, Complesso Monte S.Angelo 80126

Napoli,

ITALY