Impact of the longevity risk on permanent life annuity in the context of IFRS 17
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Dátum
2026
Názov časopisu
ISSN časopisu
Názov zväzku
Vydavateľ
De Gruyter Poland : Warsaw
ISBN
ISSN
1804-6746
1804-8285
1804-8285
Abstrakt
Longevity risk – the risk that policyholders outlive expected mortality projections – poses a significant challenge to the financial sustainability of pension insurance. This paper investigates the valuation of permanent life annuities under IFRS 17, the accounting standard that fundamentally reshaped actuarial reporting in 2023. We propose a robust mortality model that integrates a selection factor to more accurately capture the idiosyncratic longevity of annuity holders. Furthermore, the study quantifies the Risk Adjustment (RA) for non-financial risks using the Cost of Capital (CoC) method, aligning with Solvency II valuation principles. Our results demonstrate how precise longevity modelling influences the Contractual Service Margin (CSM) and overall liability adequacy. These findings offer critical insights for insurers aiming to balance product stability with the rigorous transparency requirements of IFRS 17.
Popis
In: DANUBE : law, economics and social issues review. Warsaw : De Gruyter Poland, 2026. ISSN 1804-6746. Vol. 17, no. 1 (2026), pp. 1-20.
Kľúčové slová
reverzná anuita, reverse anuity, dlhovekosť, longevity, merania, meranie, measurements
Výstup z projektu
VEGA 1/0124/24 Slovensko v kontexte dôchodkového indexu a indexu starnutia populácie - perspektíva budúcnosti
VEGA 1/0497/25 Implementácia inovatívnych prístupov v oblasti riadenia a modelovania rizík v rámci interných modelov poisťovní
Citácia
Práva a licenčné podmienky
CC BY Creative Commons Attribution 4.0 International
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess