Solvency II regulations in the EU, and similar regulations elsewhere, specify a one-year, value-at-risk (VaR) approach to solvency assessment.  However, there are other horizons besides one year where a value-at-risk assessment of longevity trend risk is useful. One example is the 3-5 year horizon for a Pillar II ORSA requirement of Solvency II, another is for pension schemes aiming to achieve a level of funding for a buy-out and a third is the payout of an index-based longevity hedge. This presentation looks at n-year VaR and CTE assessments of longevity trend risk for these use-case scenarios, and contrasts the results with the usual one-year view. We consider the longevity risk in both deferred and immediate annuities.

Speaker:Stephen Richards, Longevitas