Impact of the longevity risk on permanent life annuity in the context of IFRS 17

Stránka jednoduchej položky
dc.contributor.authorŠpirková, Jana
dc.contributor.authorZelinová, Silvia
dc.contributor.authorZimmermann, Pavel
dc.contributor.authorMucha, Vladimír
dc.date.accessioned2026-08-07T06:36:07Z
dc.date.available2026-08-07T06:36:07Z
dc.date.issued2026
dc.descriptionIn: DANUBE : law, economics and social issues review. Warsaw : De Gruyter Poland, 2026. ISSN 1804-6746. Vol. 17, no. 1 (2026), pp. 1-20.
dc.description.abstractLongevity 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.
dc.description.sponsorshipVEGA 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
dc.identifier.doihttps://doi.org/10.2478/danb-2026-0001
dc.identifier.issn1804-6746
dc.identifier.issn1804-8285
dc.identifier.urihttps://repo.umb.sk/handle/123456789/1550
dc.language.isoen
dc.publisherDe Gruyter Poland : Warsaw
dc.rightsCC BY Creative Commons Attribution 4.0 International
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectreverzná anuita
dc.subjectreverse anuity
dc.subjectdlhovekosť
dc.subjectlongevity
dc.subjectmerania
dc.subjectmeranie
dc.subjectmeasurements
dc.titleImpact of the longevity risk on permanent life annuity in the context of IFRS 17
dc.typeArticle
dc.typeinfo:eu-repo/semantics/article

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