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Further Remarks On Risk Sources Measuring: The Case Of A Life Annuity Portfolio, Mariarosaria Coppola, Emilia Di Lorenzo, Marilena Sibillo
Further Remarks On Risk Sources Measuring: The Case Of A Life Annuity Portfolio, Mariarosaria Coppola, Emilia Di Lorenzo, Marilena Sibillo
Journal of Actuarial Practice (1993-2006)
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.