Upcoming new regulation on regulatory required solvency capital for insurers will be predominantly based on a one-year Value-at-Risk measure. This measure aims at covering the risk of the variation in the projection year as well as the risk of changes in the best estimate projection for future years. This paper addresses the issue how to determine this Value-at-Risk for longevity and mortality ...

In this paper, we focus on the calibration of affine stochastic mortality models using insurance contracts premiums. Viewing insurance contracts as “market products,” we propose fitting stochastic models on the quotes of insurance policies. For this purpose, insurance contracts are viewed as a “swap” in which policyholders exchange cash flows (premiums vs. benefits) with an insurer analogous to...

In this paper we explore the life expectancy limits by based on the stochastic modeling of mortality and applying the first exit or hitting time theory of a stochastic process. The main assumption is that the health state or the “vitality”, according to Strehler and Mildvan, of an individual is a stochastic variable and thus it was introduced and applied a first exit time density function to mo...