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SOLVENCY REQUIREMENT IN A UNISEX MORTALITY MODEL

Published online by Cambridge University Press:  25 April 2018

An Chen ,
Montserrat Guillen  and
Elena Vigna
An Chen
Affiliation:
Faculty of Mathematics and Economics, University of Ulm, Helmholtzstrasse 20, 89069 Ulm, Germany E-Mail: [email protected]
Montserrat Guillen
Affiliation:
Department of Econometrics, University of Barcelona, Riskcenter-IREA, Av. Diagonal 690, 08034 Barcelona, Spain E-mail: [email protected]
Elena Vigna*
Affiliation:
University of Torino, Collegio Carlo Alberto and CeRP, Corso Unione Sovietica 218 bis, 10134 Torino, Italy
*
E-Mail: [email protected]
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Abstract

Following the EU Gender Directive, that obliges insurance companies to charge the same premium to policyholders of different genders, we address the issue of calculating solvency capital requirements (SCRs) for pure endowments and annuities issued to mixed portfolios. The main theoretical result is that, if the unisex fairness principle is adopted for the unisex premium, the SCR at issuing time of the mixed portfolio calculated with unisex survival probabilities is greater than the sum of the SCRs of the gender-based subportfolios. Numerical results show that for pure endowments the gap between the two is negligible, but for lifetime annuities the gap can be as high as 3–4%. We also analyze some conservative pricing procedures that deviate from the unisex fairness principle, and find that they lead to SCRs that are lower than the sum of the gender-based SCRs because the policyholders are overcharged at issuing time.

Keywords

SCRlife insurance pricingunisex tariffunisex fairness principlelife tablerisk marginGender Directivegender discriminationC1C13C18C38J11
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 48 , Issue 3 , September 2018 , pp. 1219 - 1243
Copyright
Copyright © Astin Bulletin 2018 

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