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Coppola, M., Di Lorenzo, E., Orlando, A. and Sibillo, M. (2007) Measuring Demographic Uncertainty via Actuarial Indexes. In: Skiadas, C.H., Ed., Recent Advances in Stochastic Modelling and Data Analysis, World Scientific Publishing Co. Pte Ltd., Singapore, 122-129.
https://doi.org/10.1142/9789812709691_0015
has been cited by the following article:
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TITLE:
Measuring Risk-Adjusted Performance and Product Attractiveness of a Life Annuity Portfolio
AUTHORS:
Emilia Di Lorenzo, Albina Orlando, Marilena Sibillo
KEYWORDS:
Profitability Measures, Participating Policies, Operating Income, Longevity Risk, Consumer Protection
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.7 No.1,
January
26,
2017
ABSTRACT: The paper proposes a new methodological approach for the product performance analysis into the actuarial context. Two indexes are proposed as restyled versions of the corresponding most popular ones: They have been adapted into the actuarial assessment preserving the plainness in the interpretation of the numerical results. The paper offers a practical implementation of the new approach in the case of a specific contract, containing itself innovative profiles: It concerns a life annuity in which the installments are scaled by a demographic index and contains an embedded option linked to the financial profit participating quota. It is a new life product linked at the same time to the financial and demographic volatility. The product project is studied in its profitability performance assuming stochastic hypotheses for the financial and demographic systematic risks. The indexes are implemented in a conditional quantile simulated framework and tables and graphs illustrate their trends as function of time. The results give an example of the usefulness of the proposed indexes in the phase of decisions about the product design feasibility. Moreover some suggestions concerning the consumer’s perception of the contract profitability are obtained by means of a utility-equivalent fixed annuity.