This paper assesses the impact of longevity risk management on insurer shareholder value and solvency for an annual … portfolio. The analysis uses a multi-period stochastic mortality model with both systematic and idiosyncratic longevity risk. We … dividend strategy that maintains regulatory capital requirements, as defined under Solvency II. We demonstrate how longevity …

In this paper I assess the effect of interest rate risk and longevity risk on the solvency position of a life insurer … insurer is assumed to be based in Germany and therefore subject to German regulation as well as to Solvency II regulation. The … then projected forward under stochastic financial markets and stochastic mortality developments. Different scenarios are …

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as …