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Slovenian Annuity Tables

znanstvena monografija

publikacija
  • Avtor/ji:
  • Ahčan Aleš
  • Medved  Darko
  • Pitacco Ermanno
  • Sambt Jože
  • Sraka Robert
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Bibliografski podatki
EAN koda: 9789612402372
ISBN koda: 978-961-240-237-2
Fizični opis: 112 str.
Izdajatelj: Ekonomska fakulteta Ljubljana
Tisk: Copis
Datum izdaje: 11.9.2012
Pripeti dokumenti
PDF: Vsebina
O knjigi
Valuing technical provisions of life annuities depends mainly on projected demographic trends. A life annuity is a specific insurance contract in which one party (an insurance company), in exchange for payment of a premium, guarantees a series of payments until the death of the other party (the insured person). The projection of future mortality improvements has significant effects on pricing and reserving for life annuities. As such, annuities are associated with longevity risk, in that decreasing mortality rates of the insured population lead to an increase in the number of annuity payments.
There are no official projected annuity tables for annuity owners in Slovenia. To value life annuities, insurance companies in Slovenia use annuity tables that are based on the mortality profile of populations in foreign countries. The Slovenian Insurance Supervision Agency has set the German annuity tables DAV 1994 R as the minimum standard. This means that insurance companies value their liabilities using DAV 1994 R annuity tables; however, they can use other tables, as long as those tables produce higher technical provisions than the DAV 1994 R. The result, though, is that the industry standard is to use the DAV 1994 R tables for pricing and reserving and, in turn, mortality statistics from 1994 on the insured in Germany are used to value liabilities for annuities and pensions in Slovenia.
The DAV 1994 R tables were used in the German insurance industry until the DAV 2004 R tables were introduced in 2005. The replacement resulted in a 10–20% increase in premiums for deferred annuities in Germany, depending on the insured’s age and sex. This substantial increase in premium rates raised an important question for the Slovenian insurance industry: Are the DAV 1994 R tables still sufficient or even appropriate for measuring the best estimate of liabilities from annuities and pensions in Slovenia?
To answer this question, the international working group on mortality was established in 2010 to develop the first annuity mortality tables for the Slovenian market. This monograph presents the results of the group’s work. The work of the group was financially supported by the Slovenian Association of Insurers.
The structure of this monograph is as follows. Chapter 2 and 3 are devoted to the basic notation, data specification and calibration. In Chapter 4 we present the main features of the LC, Poisson log bilinear and APC methods for projecting mortality. Chapter 5 reports results for a simple exponential extrapolation. In Chapter 6 an attempt is made to project cause-specific mortality. In Chapter 7 we apply the stochastic methods to Slovenian data and present the results. In this chapter we also explain in detail how projections of kappa are calculated. We conclude this section with back-testing. In Chapter 8 we construct the first Slovenian gender-specific annuity tables and propose how unisex annuity tables can be constructed. Chapter 9 outlines our conclusions.



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