Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 3 of 3
Full-Text Articles in Insurance
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.
Risk Sources In A Life Annuity Portfolio: Decomposition And Measurement Tools, Mariarosaria Coppola, Emilia Di Lorenzo, Marilena Sibillo
Risk Sources In A Life Annuity Portfolio: Decomposition And Measurement Tools, Mariarosaria Coppola, Emilia Di Lorenzo, Marilena Sibillo
Journal of Actuarial Practice (1993-2006)
The paper considers a model for a homogeneous portfolio of whole life annuities immediate. The aim is to study two risk factors: the investment risk and the insurance risk. A stochastic model of the rate of return is used to study these risk factors. Measures of the insurance risk and the investment risk for the entire portfolio are suggested. The problem of the longevity risk is presented, and its consequences with different projections of the mortality tables are analyzed. The model is applied to some concrete cases, and several illustrations show the importance of the two components of the riskiness …
Simulation Of Investment Returns For A Money Purchase Fund, Zaki M. Khorasanee
Simulation Of Investment Returns For A Money Purchase Fund, Zaki M. Khorasanee
Journal of Actuarial Practice (1993-2006)
This paper examines the problem of investment risk in money purchase pension plans. The disadvantages of modeling equity returns as independent, identically distributed random variables are conSidered, and a modified stochastic model of equity returns is proposed. This modified stochastic model is used to estimate the variability in a plan member's retirement fund and to compare various alternatives to investing 100 percent of the assets in ordinary shares. Varying conclusions are drawn about the likely success of these alternative investment strategies in reducing investment risk.