LONGEVITY RISK: AN EMPIRICAL ANALYSIS FOR LIFE ANNUITY

In this work we study and quantify the longevity risk through an empirical analysis of the evolution of the single-premiums for life annuities. Using data set as the mortality tables of the Italian population from 1950 to 2000, we intended to examine and quantify the potential risk through an analysis of the premium range of ages and generations. Our goal is to examine the timing of reserves and actual single-premiums in order to identify a forecasting model that allows the company to calculate immediately single-premiums already revaluated to reflect the ameliorative trend in mortality risk and therefore longevity. The innovative aspect of this work is not to act on the basis of survival or mortality functions. Based on information from the past, we act immediately on the level of premium. In this way will not proceed with an explicit calculation of projected mortality tables as these considerations are implicit in the level of insurance premiums.