Abstract: “In this paper we propose to assess the biometric risk involved in a life annuity portfolio under the new solvency directive. In particular, a biometric scenario generator is developed to derive a distribution of the insurer’s liabilities useful for the solvency capital estimation. Then, gender-specific implicit longevity shocks are deduced in a marginal nested simulation context consistent with the Solvency II general principle. These shocks that are specified by age and maturity are proved to be less conservative than the unique permanent standard longevity stress what causes significant capital savings.”

Keywords: Biometric risk, Solvency Capital Requirement, Simulation, Mortality modeling