The Risk of Longevity and its
Practical Application to Solvency II. European Harmonization for Management
Purposes
Based on the book “El riesgo de longevidad y su aplicación
práctica a Solvencia II: Modelos actuariales para su gestión”, which received
the 7th Julio Castelo Matrán prize awarded by FUNDACIÓN MAPFRE in 2014, this
research paper reviews and analyzes the most modern and innovative actuarial
techniques linked with longevity risk, and their practical application to risk
management.
These techniques will
enable optimization of longevity risk in relation to the following aspects,
among others: better estimate of life expectancy, analysis of sufficiency of
technical provisions, sustainability of public and private pension systems,
pricing, modeling of regulatory capital under Solvency II, risk-adjusted
return, mitigation and transfer of risk, etc. Additionally, it is recommended
that public longevity indices be created with the aim of standardizing hedging
instruments and new types of reinsurance.
Thanks to these
techniques, governments and international bodies and, naturally, the governing
bodies of insurance and pension fund firms will be able to make better
decisions with regard to management and mitigation of longevity risk.
https://www.fundacionmapfre.org/documentacion/publico/i18n/catalogo_imagenes/grupo.cmd?path=1086713
