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Das Vorhersagerisiko der Sterblichkeitsentwicklung – Kann es durch eine geeignete Portfoliozusammensetzung minimiert werden?

  • Original Research Paper
  • Published:
Blätter der DGVFM

Zusammenfassung

Das Geschäft mit Rentenversicherungen birgt durch die lebenslange Laufzeit – vor allem in Niedrigzinsphasen – Risiken für die Lebensversicherungsunternehmen. Seit Jahren läßt sich ein Anstieg der Lebenserwartung beobachten. Wie sich dieser Trend in der Zukunft entwickelt ist ungewiss.

In diesem Artikel untersuchen wir, ob ein Versicherungsunternehmen durch eine geeignete Portfoliozusammensetzung das Vorhersagerisiko der Sterblichkeitsentwicklung minimieren kann.

Hierfür werden stochastische Zins- und Sterblichkeitsentwicklungen zugrunde gelegt, wobei für Renten- und Risikolebensversicherungen unterschiedliche Sterblichkeitsentwicklung unterstellt werden. Anhand eines Beispiels werden die Auswirkungen der Portfoliozusammensetzung auf das Vorhersagerisiko betrachtet.

Die Ergebnisse zeigen, dass durch eine bewußte Portfoliozusammensetzung das Vorhersagerisiko signifikant verringert werden kann.

Abstract

Annuities as well as term insurance create risks for the insurance companies due to changes in mortality/longevity – especially in low-interest phases. For the past decades an increase in life expectancy was observed. In this article, we examine whether an insurance company can minimise the longevity risk by means of an appropriate composition of its portfolio. We use stochastic interest rates and mortality trends. For annuities and term insurance different mortality trends are used. Based on an example we show the impact of the portfolio composition on the longevity risk. The results prove that a deliberate portfolio composition can significantly reduce the longevity risk for the insurance company.

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Authors and Affiliations

  1. Ulm, Deutschland

    Carmen Wetzel & Hans-Joachim Zwiesler

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  1. Carmen Wetzel
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  2. Hans-Joachim Zwiesler
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Correspondence to Hans-Joachim Zwiesler.

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Wetzel, C., Zwiesler, HJ. Das Vorhersagerisiko der Sterblichkeitsentwicklung – Kann es durch eine geeignete Portfoliozusammensetzung minimiert werden? . Blätter DGVFM 29, 73–107 (2008). https://doi.org/10.1007/s11857-008-0039-1

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  • DOI: https://doi.org/10.1007/s11857-008-0039-1

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