Special Issue “Quantitative Risk Assessment in Life, Health and Pension Insurance”

ABSTRACT

The high volatility in financial markets, together with the ultra-low interest rates environment and the increased expectation of life, constitute serious threats for providers of long-term investment guarantees and lifelong benefits. To this end, a stochastic model for traditional life insurance contracts is proposed and framed within the Solvency II Directive. The paper ends with the presentation of a case study of a portfolio of life insurance contracts, which testifies the effectiveness of the model in highlighting the main drivers of capital requirement evaluation.