Longevity Risk and Reinsurance strategies for enhanced pensions


Abstract


En
This paper deals with demographic risk analysis in Enhanced Pensions, i.e. Long Term Care (LTC) insurance covers for retired. Both disability and longevity risk affect such a cover. Specifically, we concentrate on the risk of systematic deviations between projected and realised Specifically, we concentrate on the risk of systematic deviations between projected and realised mortality and disability, adopting a multiple scenarios approach. To this purpose we study the behaviour of the random risk reserve. Moreover, we analyse the effect of demographic risk on Risk-Based Capital requirements considering different time horizons and confidence levels and explaining how they can be reduced through either safety loading and reinsurance strategy. A profit analysis is also considered.

Keywords: Demographic risks; Long Term Care covers; risk reserve; risk-based solvency requirements; profit analysis; reinsurance treaty

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