Computational cross evaluation of financial and demographic components in the actuarial framework

Francesco Bellini~Antonio Annibali, Italie

The aim of the study is to perform a compared sensibility analysis of the effects produced by the modification of financial (interest and/or actualisation rates) and demographic technical basis (longevity tables) for actuarial issues such as the ones faced by public or private pension funds. The results will be synthesised in terms of cross elasticity among the different existing components. This study becomes particularly interesting with reference to the “longevity risk” issue, meaning the risk that the (private or public) insurer has to face as a combined consequence of the mortality reduction and the change in the interest rate of the investments done in order to cover the technical reserves.
Date: 30 May - Time: 8:30 to 10:00 - Room: 253
Theme: 1.B. Solvency measurements and asset-liability management