https://www.actuarios.org/category/papers/
ABSTRACT This Technical Note has the proposal to be a critical contrast with the EIOPA's CP of November 6, 2017 for the recalibration of longevity and mortality shock under the Solvency II framework. So, this paper is addressed to EIOPA and the European Commission for taking into consideration for a review of the shocks applied for longevity and mortality in the framework of Solvency II. These risks of an opposite biometric nature must be considered together in order to evaluate the impact of the aforementioned shocks, although the conclusions of the resulting metrics are different. The work confirms the actuarial technical justification of the granularity by age in every years of the projection applicable to the longevity risk valued by means of a multimodal projection of the general European population trend. On the other hand, and under the principle of proportionality, the practical application of this granularity is evidenced. In the case referred to the mortality risk, it is confirmed that the trend risk is not applicable to calibrate the level of shock, and on the other hand the 15% shock currently required prudently overcomes the practical application of a stressed scenario. Therefore, we do not find technical evidence to justify the recalibration upwards over the current 15%
