Estructura de dependencia entre el riesgo de longevidad y de mortalidad y su impacto en el capital requerido de solvencia (SCR)

Jaume Belles-Sampera; Miguel Santolino; Antonio Rubio-Pallarés

doi:10.26360/2017_2

Authors

Jaume Belles-Sampera Universidad de Barcelona (España)
Miguel Santolino Universidad de Barcelona (España)
Antonio Rubio-Pallarés Grupo Catalana Occidente S.A. (España)

DOI:

https://doi.org/10.26360/2017_2

Keywords:

SCR, longevity risk, mortality risk, dependency, copula, survival copula, co-copula

Abstract

As stated by EIOPA in Guideline 51 of BoS-14/253 (Guidelines on system of governance), the Actuarial Function of an undertaking using an internal model should contribute to analyze how dependencies between risks are derived in the framework of the model. A previous step is to investigate the underlying assumptions in the current structure of dependencies between risks considered in the Solvency II standard formula, and implications of considering alternative dependency structures. This paper focuses on longevity risk. We illustrate the longevity risk model of EIOPA-14-322 for a portfolio of life products (the hypothesis of the standard formula for the Solvency Capital Requirement calculation) and we quantify the impact of alternative dependence structures on the SCR. This example should be used as basis for the analysis of more complex longevity risk models. We show that all required calculations can be made in an Excel worksheet to ease the use by practitioners.

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