Solvency measurement of life annuity products

Ngugnie Diffouo, Pauline;Devolder, Pierre
(2022) International Journal of Theoretical and Applied Finance — Vol. 25, n° 2, p. 2250003 (2022)

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Authors
  • Ngugnie Diffouo, Pauline
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  • Devolder, PierreUCLouvain
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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.
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Ngugnie Diffouo, P., & Devolder, P. (2022). Solvency measurement of life annuity products. International Journal of Theoretical and Applied Finance, 25(2), 2250003. https://doi.org/10.1142/S0219024922500030 (Original work published 2022)