MORTALITY-AT-RISK FOR LONGEVITY RISK SOLVENCY CAPITAL REQUIREMENT CALCULATION
<p align="justify">The downward trend in human mortality, especially for older ages, exposes insurance <br /> companies providing life annuities or pension funding to the risk of making more payments than expected. This is called longevity risk in actuarial studies. This the...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/30781 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | <p align="justify">The downward trend in human mortality, especially for older ages, exposes insurance <br />
companies providing life annuities or pension funding to the risk of making more payments than expected. This is called longevity risk in actuarial studies. This thesis will build a prediction limit-based risk measure for the risk called Mortalityat-Risk. For that purpose, it is necessary to predict the mortality movement, which is done using ARI-GARCH process for a mortality measure called the central death rate. The mortality measure is chosen for its capability of representing the whole <br />
mortality case in each age groups in each year, while the heteroskedastic process is chosen after observing the similarities between the mortality measure and financial asset return empirical properties. Then, the prediction is employed to build the Mortality-at-Risk, which later used to formulate the solvency capital requirement needed to mitigate the risk.<p align="justify"> |
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